Annual Conference

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Accounting, Senior Fellows/Fellows

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May 2017

Why Do Publicly Listed Firms Evade Taxes? Evidence from China

Bin KE, Yao ZHANG, Travis CHOW, Hongqi YUAN
Taking advantage of the mandatory disclosure of detected corporate tax evasions in China, we examine why publicly listed firms evade taxes. Different from most prior studies that focus on corporate income tax avoidance, we consider tax evasions related to both income taxes and non-income taxes. We a...
Keywords: tax avoidance, Tax evasion, China, SOE
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2016

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Luis GONCALVES-PINTO, Allaudeen HAMEED, Thijs VAN DER HEIJDEN, Yichao ZHU, Bruce GRUNDY
The distance between option-implied and traded stock prices (DOTS) predicts future stock returns. A trading strategy based on DOTS yields an alpha of 85 basis points on the day after portfolio formation. We show that DOTS is strongly related to return reversals, order imbalances, and transaction cos...
Keywords: Price Pressure, Put-Call Parity, return predictability, Informed Trading
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Why Do Option Prices Predict Stock Returns

Luis GONCALVES-PINTO, Allaudeen HAMEED, Thijs VAN DER HEIJDEN, Yichao ZHU
Disagreement between the stock and options markets about the stock’s value can reflect both informed trading in options and temporary price pressure in stocks. We document that the dis-agreement is strongly related to return reversals, order imbalances, and illiquidity in stocks, and weakly relat...
Keywords: Price Pressure, Put-Call Parity, return predictability, Informed Trading
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Who are the Sentiment Traders? Evidence from the Cross-section of Stock Returns and Demand

Laura STARKS, Luke DEVAULT, Richard SIAS
Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Given that the market clearing condition requires a buyer for every seller, we exploit these cross-sectional patterns and changes in share ownership to test whether investor sentiment me...
Keywords: Stock Returns, sentiment, demand shocks, mispricing
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

When Real Estate is the Only Game in Town

Harrison HONG, Jeffrey P. THOMPSON, Hyun-Soo CHOI, Jeffrey D. KUBIK
Using data on household portfolios and mortgage originations, we find that households residing in a city with few publicly traded firms headquartered there are more likely to own an investment home nearby. Households in these areas are also less likely to own stocks. This only-game-in-town effect is...
Keywords: Real estate, homeownership, household portfolios, mortgage originations
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