Annual Conference

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Investment Finance

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May 2023

What's in Investors' Information Sets?

Alberto G. ROSSI, Hagit LEVY, Ron SHALEV, Emanuel ZUR
We exploit a unique dataset to study how the information sets of retail and institutional investors evolve over time and how changes in investors’ information sets relate to stock price dynamics. Changes in stock following are positively related to future stock returns at horizons shorter than one...
Keywords: Investments , attention, information set, news
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Annual Conference

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Accounting

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May 2021

What Should Investors Care About? Mutual Fund Ratings by Analyst vs Machine Learning Technique

Si CHENG, Xiaojun ZHANG, Ruichang LU
We examine two forward-looking mutual fund ratings: the analyst rating produced by human analysts and the quantitative rating generated by a machine learning technique. The analyst rating identifies outperforming funds, while the quantitative rating does not—this difference derives mostly from the...
Keywords: Analyst Rating, Quantitative Rating, Mutual Funds, Information provision, machine learning
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Annual Conference

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Corporate Finance

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May 2022

What Explains the Geographic Variation in Corporate Investment?

Shohini KUNDU, Nishant VATS
We show that history can explain the geographic concentration of investment over and above traditional agglomerative forces, geography, and expectations. We use spatial variation in direct and indirect British rule to identify differences in historical circumstances. Using this within-country variat...
Keywords: investment, agglomeration, history, colonial rule, economic organization, state capacity
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2015

What Do Stock Markets Tell Us About Exchange Rates?

Gino CENEDESE, Giorgio VALENTE, Richard PAYNE, Lucio SARNO
The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory. Using data for a broad set of forty-two countries, we find that exchange rate movements are in fact unrelated to differentials in country-level equity returns. Consequently, a trading ...
Keywords: Empirical Asset Pricing, exchange rates, Uncovered Equity Parity, International Asset Allocation
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Annual Conference

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Accounting

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May 2015

What Determines Auditors' Career Outcomes?

Bin KE, Xianjie HE
Taking advantage of a unique data set from China about individual auditors’ personal backgrounds, we examine the factors that affect auditors’ demotion and promotion outcomes. We find that ability, accounting knowledge, and on-the-job performance all matter in auditors’ demotions and promotion...
Keywords: auditors, promotion, demotion, gender, China
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