Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

Information Environment and the Geography of Firms and Investors

Gennaro BERNILE, Johan SULAEMAN, Shimon KOGAN
We develop a model linking stock ownership and returns to the distribution of private information and quality of public information. Supporting the model, we find that the firm’s information environment affects investors’ propensity to hold and trade its stocks, but its effects hinge on investor...
Keywords: Geography, Information Environment, Ownership, Trading, Stock Returns
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Annual Conference

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Corporate Finance

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May 2015

International Liquidity Shocks, the Real Economy, and Social Unrest: China, 1931-1935

Alberto MANCONI, Fabio BRAGGION, Haikun ZHU
What are the social consequences of liquidity shocks? We answer this question relying on a natural experiment from 1930s China, where the money supply contracted as a consequence of the 1933 US Silver Purchase program. Using a novel, hand-collected data set of loan contracts to individual Chinese fi...
Keywords: Silver Purchase program, bank liquidity, social unrest
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Annual Conference

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Investment Finance

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May 2015

Investor Attention: Seasonal Patterns and Endogenous Allocations

Peng LIN, Hongqi LIU
Using a Google search-based measure of investor attention, this paper investigates investor attention patterns and its determinants. We document that investor attention displays strong seasonality. It is significantly lower on Fridays and in summer months. We find that investor attention increases s...
Keywords: limited attention, information processing, attention allocation, information efficiency
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Annual Conference

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Investment Finance

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May 2015

Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility

Bohui ZHANG, Yung Chiang YANG, Chu ZHANG
We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of normal levels. Using earnings announcements as info...
Keywords: Information Risk, Idiosyncratic Volatility, Earnings Announcement, Expected Returns
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Annual Conference

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Investment Finance

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May 2015

Learning about the Neighborhood: The Role of Supply Elasticity for Housing Cycles

Gao ZHENYU, Michael SOCKIN, Wei XIONG
Motivated by an intriguing observation during the recent U.S. housing cycle that counties with housing supply elasticities in an intermediate range experienced the most dramatic price booms and busts, this paper develops a model to analyze information aggregation and learning in housing markets. In ...
Keywords: Elasticity, price boom, housing market;housing cycle
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