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Hedge fund stock trading in the financial crisis of 2007 - 2009
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011
Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...
Persistent link: https://www.econbiz.de/10009009543
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Keeping up with the Joneses and the real effects of S&P 500 inclusion
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2021
Firms added to the S&P 500 index join a prestigious and exclusive club. They want to fit in the club, which creates a “keeping up with the Joneses” effect. Firms pay more attention to their index peers after inclusion and their investment, external financing, and payouts comove more with...
Persistent link: https://www.econbiz.de/10012584272
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Corporate transactions in hard-to-value stocks
Ben-David, Itzhak; Kim, Byungwook; Moussawi, Hala; … - 2021
Hard-to-value stocks provide opportunities for managers to exploit their informational advantage through trading on their firms' and their own personal accounts. In contrast to the prediction that such transactions reflect private information about future events, they are contrarian and heavily...
Persistent link: https://www.econbiz.de/10012816430
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Does joining the S&P 500 index hurt firms?
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2020
We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...
Persistent link: https://www.econbiz.de/10012263191
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Who benefits from analyst "top picks"?
Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2020
Following the Global Settlement, analysts extensively use a top pick designation to highlight their highest conviction best ideas. Such a designation enables analysts to provide greater granularity of information, but it can potentially be influenced by conflicts of interest. Examining a...
Persistent link: https://www.econbiz.de/10012301460
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Capital market anomalies and quantitative research
Birru, Justin; Gokkaya, Sinan; Liu, Xi - 2018
Quantitative research analysts (Quants) produce in-depth quantitative and econometric modeling of market anomalies to assist sell-side analysts and institutional clients with stock selection strategies. Quants are associated with more efficient analyst forecasting behavior on anomaly predictors...
Persistent link: https://www.econbiz.de/10011969132
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Are analyst trade ideas valuable?
Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019
Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...
Persistent link: https://www.econbiz.de/10012120228
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The rise and fall of demand for securitizations
Chernenko, Sergey; Hanson, Samuel G.; Sunderam, Adi - 2014
heterogeneity in investor demand for securitizations in the pre-crisis period. We argue that both investor beliefs and incentives …
Persistent link: https://www.econbiz.de/10010532196
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Indirect incentives of hedge fund managers
Lim, Jongha; Sensoy, Berk A.; Weisbach, Michael S. - 2013
Indirect incentives exist in the money management industry when good current performance increases future inflows of … capital, leading to higher future fees. For the average hedge fund, indirect incentives are at least 1.4 times as large as … direct incentives from incentive fees and managers' personal stakes in the fund. Combining direct and indirect incentives …
Persistent link: https://www.econbiz.de/10009724568
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Why did financial institutions sell RMBS at fire sale prices during the financial crisis?
Merrill, Craig B.; Nadauld, Taylor D.; Stulz, René M.; … - 2013
capital requirements and accounting rules to identify circumstances where financial institutions had incentives to engage in …
Persistent link: https://www.econbiz.de/10009724585