Showing 121 - 130 of 154
Persistent link: https://www.econbiz.de/10003717364
This paper investigates whether news suggestive of irrationality within financial markets have an impact on stock returns. We construct a lexicon of words for 'market irrationality' and score daily news articles based on the number and proportion of words they contain from the lexicon. We find...
Persistent link: https://www.econbiz.de/10011412095
Social norms can act as safeguards against corporate misconduct, but can also foster undesirable behavior. To study differences in individual resistance to social norms, we conduct a laboratory experiment on misrepresentation of earnings. There are systematic differences among individuals'...
Persistent link: https://www.econbiz.de/10011293496
Persistent link: https://www.econbiz.de/10011297141
We find that the degree and dynamics of sovereign bond market integration across 21 developed and 18 emerging countries is significantly heterogeneous. We show that better spanning can significantly enhance market integration through dissipating local risk premiums. Integration of the sovereign...
Persistent link: https://www.econbiz.de/10011618981
This paper studies how investors infer CEO commitment to honesty from earnings management and how these perceptions – in conjunction with investors’ own social and moral preferences – shape their investment choices. We conduct two laboratory experiments simulating investment choices. Our...
Persistent link: https://www.econbiz.de/10011626498
We propose a novel way of measuring the equity portfolio-level environmental and social characteristics of a 13F institution (the “sustainability footprint”) and examine the relation between sustainability footprints and risk-adjusted investment performance. The analysis shows that 13F...
Persistent link: https://www.econbiz.de/10011626640
This paper studies the eff ect of market belief risk on the cross-section of stock returns. Using actual and analyst EPS forecast data, we construct the market belief as the cross-sectional average of individual beliefs for all sample stocks, with individual belief de fined as the mean analyst...
Persistent link: https://www.econbiz.de/10009684184
We investigate the effects of margining, a widely-used mechanism to attach collateral to derivatives contracts, on derivatives' trading volume, default risk, and on the welfare in the banking sector. First, we develop a stylized banking sector equilibrium model to derive a set of testable...
Persistent link: https://www.econbiz.de/10013129944
This article analyzes the effect of liquidity risk on the performance of equity hedge fund portfolios. Similarly to Avramov, Kosowski, Naik, and Teo, we observe that, before accounting for the effect of liquidity risk, hedge fund portfolios that incorporate predictability in managerial skills...
Persistent link: https://www.econbiz.de/10013244188