Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

The Performance of Characteristic-Sorted Portfolios: Evaluating the Past and Predicting the Future

Sheridan TITMAN, Aydogan ALTI, Travis L. JOHNSON
The expected returns of most portfolios are likely to fluctuate over time. We present a statistical model that allows for such fluctuations and apply the model to analyze the returns of characteristic-sorted portfolios, such as value minus growth. We find that accounting for plausible magnitudes of ...
Keywords: Portfolio returns, time-variation, autocorrelation, standard errors, return predictability, Bayesian
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Annual Conference

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Accounting, Senior Fellows/Fellows

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May 2019

The Myth about Public versus Private Enforcement of Securities Laws - Evidence from Chinese Comment Letters

Kai LI, Ray ZHANG, Rafael ROGO, Tinghua DUAN
China presents a unique opportunity to study public enforcement of mandatory disclosure when private enforcement is largely absent. Using a hand-collected sample of comment letters (CLs) on annual reports issued by the Shanghai Stock Exchange, we first show that the price reaction to CL announcement...
Keywords: public enforcement, private enforcement, institutional environment, comment letters, disclosure, ear
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Senior Fellows/Fellows

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Senior Fellows/Fellows

The Macroeconomy After Tariffs

Andrew K. ROSE, Davide FURCERI, Swarnali A. HANNAN, Jonathan D. OSTRY
We study the macroeconomic consequences of tariffs.  We estimate impulse response functions from local projections using a panel of annual data that spans 151 countries over 1963‐2014.  We find that tariff increases lead, in the medium term, to economically and statistically significant declines...
Keywords: protection, output, productivity, unemployment, inequality, exchange rate, trade balance
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

The Information Value of Sovereign Credit Rating Reports

Sumit AGARWAL, Vincent CHEN, Weina ZHANG, Geoffrey SIM
We examine the information value of sovereign credit rating reports issued by Moody’s in the sovereign credit default swaps (CDS) markets across 70 countries from 2003 to 2013. We find that the negative linguistic tone in the reports contains new information beyond credit rating actions. We code t...
Keywords: Eurozone Sovereign Debt Crisis, Linguistic Tone, Naïve Bayesian Algorithm;
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

The Information Value of Credit Rating Reports

Sumit AGARWAL, Vincent CHEN, Weina ZHANG
We test if Standard & Poor's (S&P) credit rating reports contain valuable information beyond credit ratings. We find that positive (negative) linguistic tone in the reports are significantly related to positive (negative) abnormal returns at the time of downgrade announcement and the tone ca...
Keywords: Credit Ratings, Credit Rating Agencies, Credit Rating Reports, Linguistic Tone
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