Senior Fellows/Fellows

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Senior Fellows/Fellows, 2017

Is the Chinese Stock Market Really Different-Evidence from Stock Splits in the U.S. and China

Sheridan TITMAN, Chishen WEI, Bin ZHAO
We compare and contrast the Chinese and the U.S. stock markets by analyzing stock price reactions around stock split announcements. Both markets exhibit positive initial stock price reactions on split announcements and positive post-split return drift in the initial 3 months. In the U.S., the positi...
Keywords: Sheridan Titman (University of Texas at Austin), Chishen WEI (Singapore Management University), Bin Zhao (Shanghai Jiao Tong University)
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Is Stock Index Membership for Sale?

Shang-Jin WEI, Kun LI, Xin LIU
While major stock market indices are followed by large monetary investments, we document that membership decisions for S&P 500 have a nontrivial amount of discretion. We show that firms’ purchases of S&P ratings appear to improve their chance of entering the index (but purchases of Moodyâ€...
Keywords: S&P 500, Conflict of interest, Credit rating, Stock index
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

Is Hard and Soft Information Substitutable? Evidence from the Lockdowns

Massimo MASSA, Jennie BAI
We study information substitutability in the financial market through a quasi-natural experiment: the pandemic-triggered lockdown that has hampered people's physical interactions hence the ability to collect, process, and transmit soft information. Exploiting the cross-sectional and time-series vari...
Keywords: Mutual Funds, Soft information, COVID-19, proximity investing, performance
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Senior Fellows/Fellows

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Senior Fellows/Fellows, Pandemic

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May 2020

Investors’ risk attitudes in the pandemic and the stock market: new evidence based on internet searches

Giulio CORNELLI, Leonardo GAMBACORTA, Dora XIA, Marlene AMSTAD
The sharp drop and subsequent rebound in global stock markets in the current pandemic focuses attention on changes in investors’ risk attitudes. A new COVID-19 risk attitude (CRA) index for 61 markets, based on internet searches in Google and Baidu, does a good job at capturing investors’ attitu...
Keywords: COVID-19, equity market, sentiment, risk attitude
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Senior Fellows/Fellows

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Pandemic

Investment and Subjective Uncertainty

Steven J. DAVIS, Nicholas A. BLOOM, Lucia FOSTER, Scott OHLMACHER, Itay SAPORTA-EKSTEN
A longstanding challenge in evaluating the impact of uncertainty on investment is obtaining measures of managers’ subjective uncertainty. We address this challenge by using a detailed new survey measure of subjective uncertainty collected by the U.S. Census Bureau for approximately 25,000 manufact...
Keywords: Subjective expectations, business-level uncertainty
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