Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

We provide causal evidence on one of the most prominent critiques of behavioral finance – that most of the evidence in psychology, which underpins the field, comes from experiments with little at stake for participants. How far do behavioral biases – leading to investment mistakes – get attenu...
Keywords: Behavioural finance, psychology, behavioural biases, Investment
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Annual Conference

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Investment Finance

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May 2021

The explosion in ESG research has led to a strong reliance on ESG rating providers. We document widespread changes to the historical ratings of a key rating provider, Refinitiv ESG (formerly ASSET4). Depending on whether the original or rewritten data are used, ESG-based classifications of firms int...
Keywords: ESG ratings, ESG investment, CSR
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Annual Conference

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Investment Finance

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May 2021

We explore how mutual funds react when the tradeoff between sustainability and performance becomes salient. Following the introduction of Morningstar’s sustainability ratings (the “globe” ratings), mutual funds increased their holdings of sustainable stocks in order to improve their globe rati...
Keywords: Sustainability, ESG, Mutual Funds, Fund Flows, Ratings
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

Before 2009, the market average price earnings ratio of Chinese firms is significantly higher than that of the U.S. firms, while after 2009, the valuation gap reverses. Using data from 1995 to 2018, we examine the dynamics and sources of valuation differentials between comparable Chinese and U.S. fi...
Keywords: Chinese stock prices, market integration, financial development, stock valuation, earnings yields, price earnings ratios, speculative trading.
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Annual Conference

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Investment Finance

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May 2021

Exploiting a screen display feature whereby the order of stock display is determined by the stock listing codes, we lever a novel identification strategy and study the impact of attention spillover on stock prices and turnover. We find that stocks with neighbors on the display that experience higher...
Keywords: limited attention, overconfidence, attention spillover, price impact, return predictability
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