Annual Conference

|

Economic Transformation of Asia, Senior Fellows/Fellows

|

May 2016

We study the interplay between cultural attitudes and the economic environment, focusing on attitudes towards obedience in the workplace. We establish two key stylized facts: First, at the country level, an upward shift in workplace obedience over time is associated with more exporting in industries...
Keywords: Culture, Workplace Obedience, Routine Tasks, Education, Human capital, Specialization Patterns, Exports
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2016

Asset prices remain depressed for years following mutual fund fire sales, but little is known about the causes of these price drops. We show that asymmetric information generates price pressure during fire sales. We separate trades into expected trades, which assume fund managers scale down their po...
Keywords: adverse selection, asymmetric information, fire sales, information economics, institutional investors, slow moving capital
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2016

We construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. Systemic default spikes during recessions, is correlated with macroeconomic indicators, and predic...
Keywords: systemic risk, Joint default, Predictability, Stock Returns, Bond returns
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2016

We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin and firm profitability, but positively correlated with cash holding, cash flow variance, new shares issua...
Keywords: Cross-section of equity options, delta-hedged options, return predictability, stock characteristics, option factor model
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2016

We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with institutional trading measures and related to, but different from, other investor attention proxies....
Keywords: attention, institutional investors, retail investors, earnings announcements, Analyst recommendations, News, Bloomberg
  • View
  • Download
  • Bookmark
  •    |