Publications

08 Aug 2017
News

The Stock Market May Be Poised for a Replay of the 1987 Crash

26 Aug 2024
News

Warsaw Stock Market Aims for Revival After ‘Lost’ Years

The Hidden Costs of Stock Market Liquidity (JFE 1993)

1984
Chapter

Macroeconomics and Finance: The Role of the Stock Market

By: Stanley Fischer and Robert C. Merton

Keywords: Macroeconomics; Financial Markets

May 2001
Supplement

Korea Stock Exchange

By: Tarun Khanna

Features a presentation by In-Kie Hong of Korea Stock Exchange discussing the depth of the crisis, its origin, and its possible resolution in the end. In-Kie Hong addresses a class of MBA students at the Harvard Business School. View Details

Keywords: Financial Crisis; Financial Markets; Stocks; Financial Services Industry; Korean Peninsula

Purchase

2007
Chapter

Stock Market Swings and the Value of Innovation, 1908–1929

By: Tom Nicholas

Keywords: Fluctuation; Financial Markets; Innovation and Invention

January 2009
Article

Multinationals as Arbitrageurs? The Effect of Stock Market Valuations on Foreign Direct Investment

By: Malcolm Baker, C. Fritz Foley and Jeffrey Wurgler

Empirical evidence of imperfect integration across world capital markets suggests a role for cross-border arbitrage by multinationals. Consistent with multinational arbitrage as a determinant of foreign direct investment (FDI) patterns, we find that FDI flows increase... View Details

Keywords: Multinational Firms and Management; Financial Markets; Foreign Direct Investment; Valuation; Capital Markets; Cross-Cultural and Cross-Border Issues; Cost; Forecasting and Prediction; Capital; Stocks; Integration

2024
Working Paper

Valuing Stocks With Earnings

By: Sebastian Hillenbrand and Odhrain McCarthy

We show that commonly used aggregate earnings are several times as volatile as stock prices over the last three decades. Movements in the price-earnings ratio are thus entirely explained by earnings growth and unrelated to future returns. As an alternative to the... View Details

Keywords: Price; Investment Portfolio; Stocks; Behavioral Finance; Accounting

SSRN

August 2003
Article

When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms

By: Malcolm Baker, Jeremy Stein and Jeffrey Wurgler

We use a simple model of corporate investment to determine when investment will be sensitive to non-fundamental movements in stock prices. The key cross-sectional prediction of the model is that stock prices will have a stronger impact on the investment of firms that... View Details

Keywords: Stocks; Price; Investment; Equity; Forecasting and Prediction; Rank and Position; Markets

December 2013
Article

Legislating Stock Prices

By: Lauren Cohen, Karl Diether and Christopher Malloy

We demonstrate that legislation has a simple, yet previously undetected impact on stock prices. Exploiting the voting record of legislators whose constituents are the affected industries, we show that the votes of these "interested" legislators capture important... View Details

Keywords: Legislator Incentives; Voting; Return Predictability; Lobbying; Motivation and Incentives; Government Legislation; Stocks

2004
Chapter

The Globalization of Stock Markets and Convergence in Corporate Governance

By: Gerald F. Davis and Christopher Marquis

Keywords: Globalized Markets and Industries; Financial Markets; Corporate Governance; Financial Services Industry; Information Technology Industry

1987
Chapter

On the Current State of the Stock Market Rationality Hypothesis

By: Robert C. Merton

Keywords: Financial Markets; Stocks; Mathematical Methods

2022
Article

Which Corporate ESG News Does the Market React To?

By: George Serafeim and Aaron Yoon

Using a dataset that classifies firm-level ESG news as positive and negative, we examine how stock prices react to different types of ESG news. We analyze 111,020 firm-day observations for 3,126 companies and find that prices react only to issues identified as... View Details

Keywords: ESG; ESG (Environmental, Social, Governance) Performance; ESG Ratings; Social Capital; Environment; Sustainability; CSR; Stock Price; Stock Market Expectations; Materiality; Market Reaction; Environmental Sustainability; Governance; Social Issues; Performance; News

SSRN

9 May 2013 - 11 May 2013
Conference Presentation

Stock Market Prediction via Social Media: The Importance of Competitors

By: Frank Nagle

In this paper we demonstrate that legislation has a simple, yet previously undetected impact on firm stock prices. While it is understood that the government and firms have an important relationship, it remains difficult to determine which firms any given piece of... View Details

04 May 2020
News

Investors Rewarded These Signs of Resilience in the Stock Market Crash

2009
Working Paper

Stock Price Fragility

By: Robin Greenwood and David Thesmar

We investigate the relationship between ownership structure of financial assets and non-fundamental risk. An asset is fragile if its owners collectively have to buy or sell. Such assets are susceptible to non-fundamental price movements. An asset can be fragile because... View Details

Keywords: Financial Liquidity; Stocks; Price; Market Transactions; Ownership; Risk and Uncertainty; United States