Socially responsible (SR) institutions tend to focus more on the ESG performance and less on quantitative signals of value. Consistent with this difference in focus, we find that SR institutions react less to quantitative mispricing signals. Our evidence suggests that the increased focus on ESG...

In the years surrounding the financial crisis, the share prices of equity Real Estate Investment Trusts (REITs) were much more volatile than the underlying commercial real estate prices. To better understand this phenomenon we examine the cross-sectional dispersion of REIT returns during this...

Consistent with Chevalier and Ellison (1999), we find that mutual fund managers with degrees from elite universities tend to outperform their counterparts from less elite universities. The abnormal performance can be characterized as “fast performance,” the stocks they select realize excess...

There is substantial evidence that indicates that stocks that perform the best (worst) over a three to 12 month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Up until recently, trading strategies that exploit this phenomenon were consistently profitable...

Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with publicly listed and private firms. In our setting, stock prices are...

Listed Chinese companies can issue A-shares that are held mainly by domestic investors and B-shares that are held mainly by foreign investors. Although these twin shares have identical cash flow rights and are traded in the same location, A-shares are almost always priced higher than B-shares....

We examine the relation between the social ties between firms' headquarters locations and co-movements between their fundamentals and stock returns. Our evidence indicates that firms in the same industry with socially connected locations exhibit co-movement in fundamentals and stock returns that...

Institutional investors tend to accumulate the shares of firms that announce acquisitions. The tendency to accumulate shares is stronger when the acquirer discloses synergy forecasts, and it is especially strong when the disclosed synergies are higher. This evidence is consistent with the idea...

This paper investigates the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We...