Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2016

Cost of Bereavement: How Does Parental Loss Affect Mutual Fund Managers?

Shu TAO, Johan SULAEMAN, P. Eric YEUNG
This study examines whether bereavement, a common life experience, affect the performance and behaviors of mutual fund managers. We find that mutual fund return declines by around 3 percentage points around the parental deaths of fund managers. This underperformance persists for about one year, sugg...
Keywords: Life Experience, Bereavement, Emotions, Mutual fund, Fund Performance, Risk Taking
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Annual Conference

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Investment Finance

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May 2016

Asset Pricing for the Shortfall Averse

Gur HUBERMAN, Paolo GUASONI
Compare the utility from consuming a certain amount under two circumstances which vary by the levels of past historical consumption. This paper’s premise is that the higher past historical consumption, the lower is the utility from current consumption. The paper and its companion, GHR, extend stan...
Keywords: loss aversion, Asset Pricing, Consumption, prospect theory
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2016

Co-Collateral Risk

Hong ZHANG, Massimo MASSA, Chengwei WANG
This paper proposes a novel measure of stock-level margin constraints to study the impact of funding risk on the cross-section of stock returns. More specifically, we use daily cash collateral information collected from the short selling market to construct the measure, and decompose it into two com...
Keywords: Funding risk, Collateral, Short-selling, Stock Returns
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Annual Conference

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Investment Finance

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May 2016

Anomalies and News

Joseph ENGELBERG, R. David MCLEAN, Jeffrey PONTIFF
Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and are 6 times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing via biased expectations, and data mining. We develop and conduct unique t...
Keywords: News, anomalies, Cross-sectional return predictability, earnings announcements, market efficiency
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Annual Conference

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Corporate Finance

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May 2016

Enemy at the Gates: Trade Credit v/s Price Discount as a Strategic Tool

Manpreet SINGH
How do financial constraints affect an incumbent supplier firm's choice of extending more trade credit versus offering price discounts when facing an increased threat of entry from competitors? The threatened incumbent supplier firms may (a) extend more trade credit, ex-ante, to defend their market ...
Keywords: trade credit, limit-pricing, entry threat, Financial constraints
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