Senior Fellows/Fellows

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Senior Fellows/Fellows

Stock Market Overvaluation, Moon Shots, and Corporate Innovation

David HIRSHLEIFER , Siew Hong TEOH, Ming DONG
We test how market overvaluation affects corporate innovation. Estimated stock overvaluation is very strongly associated with measures of innovative inventiveness (novelty, originality, and scope), as well as R&D and innovative output (patent and citation counts), and these relationships are hig...
Keywords: stock market misvaluation, innovation, R&D, patents, behavioral finance, market efficiency
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Mood Beta and Seasonalities in Stock Returns

David HIRSHLEIFER , Danling JIANG, Yuting MENG
Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. A model in which assets differ in their sensitivities to investor mood explains these effects and implies other seasonal patterns...
Keywords: Return seasonality, Investor mood, Mood beta, market efficiency, anomalies
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Shared Analyst Coverage: Unifying Momentum Spillover Effects

David HIRSHLEIFER , Usman ALI
Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology mom...
Keywords: cross-asset momentum, industry momentum, geographic momentum, customer momentum, supplier momentum, Technology momentum, complicated firms
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Naive Buying Diversification and Narrow Framing among Individual Investors

David HIRSHLEIFER , John GATHERGOOD, David LEAKE, Hiroaki SAKAGUCHI, Neil STEW
Individual investors buying multiple stocks on the same day often use a naïve diversification 1/N heuristic, dividing purchase value equally across stocks. Yet very few investors maintain a 1/N portfolio allocation. Instead, investors appear to narrowly frame their buy-day decision independently of...
Keywords: investor behavior, portfolio allocation, naive diversification, narrow bracketing
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

David HIRSHLEIFER , Turan G. BALI, Lin PENG, Yi TANG
We test the hypothesis that retail investors' attraction to lottery stocks induces overvaluation, and is amplified by high attention and social interactions. The lottery premium (negative abnormal returns) is stronger for high-retail-ownership stocks—especially those that also have high analyst co...
Keywords: Preference for lottery-like stocks, investor attention, social interactions, social network, MAX, skewness, retail investors
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