Publications

22 Aug 2024
Research & Ideas

Reading the Financial Crisis Warning Signs: Credit Markets and the 'Red-Zone'

market bubbles and frothy credit markets—and how those are different from equity market froth. Layne: How so? Greenwood: Frothy stock markets... View Details

Keywords: by Rachel Layne; Banking

March 2008
Article

Market Reactions to Export Subsidies

By: M. A. Desai and James R. Hines Jr.

This paper analyzes the economic impact of export subsidies by investigating stock price reactions to a critical event in 1997. On November 18, 1997, the European Union announced its intention to file a complaint before the World Trade Organization (WTO), arguing that... View Details

Keywords: Economic Systems; Trade; Development Economics; Financial Markets; Profit; Taxation; Volume; Value Creation; Market Design; Business Subsidiaries; Utilities Industry; Financial Services Industry; Europe; North and Central America

SSRN

2024
Working Paper

Who Clears the Market When Passive Investors Trade?

By: Marco Sammon and John J. Shim

We find that firms are the primary sellers of shares when index funds are net buyers, providing shares at a nearly one-for-one rate. Rather than provide liquidity, most demand-side institutions trade in the same direction as index funds, especially over long horizons.... View Details

Keywords: Investment Funds; Institutional Investing; Price; Investment Portfolio; Financial Institutions; Financial Instruments

SSRN

2002
Other Unpublished Work

Market Liquidity as a Sentiment Indicator

By: Malcolm Baker and Jeremy Stein

We build a model that helps to explain why increases in liquidity—such as lower bid–ask spreads, a lower price impact of trade, or higher turnover—predict lower subsequent returns in both firm-level and aggregate data. The model features a class of irrational... View Details

Keywords: Price; Financial Liquidity; Trade; Valuation; Markets; Forecasting and Prediction; Equity; Stock Shares; Investment Return

September 1992
Case

Star Cablevision Group (A): Harvesting in a Bull Market

By: William A. Sahlman

First case in a series of six cases that follow the experience of a cable television company as it adjusts to the rapid rise and precipitous decline of the stock market in the late 1980s. In this case Don Jones, the company's founder and owner, sees the rise in public... View Details

Keywords: Behavioral Finance; Financial Markets; Corporate Entrepreneurship; Business Startups; Restructuring; Corporate Strategy; SWOT Analysis; Wealth; Business Cycles; Entertainment and Recreation Industry

Educators

Purchase

18 Jul 2005
Research & Ideas

Identify Emerging Market Opportunities

Companies are increasingly looking to emerging markets like China as a vital source of growth. The problem is these companies often lack an effective strategy for identifying which countries to do business with. In a June Harvard Business... View Details

Keywords: by Tarun Khanna, Krishna G. Palepu & Jayant Sinha

August 2023
Article

Can Security Design Foster Household Risk-Taking?

By: Laurent Calvet, Claire Célérier, Paolo Sodini and Boris Vallée

This paper shows that securities with a non-linear payoff design can foster household risk-taking. We demonstrate this effect empirically by exploiting the introduction of capital guarantee products in Sweden from 2002 to 2007. The fast and broad adoption of these... View Details

Keywords: Financial Innovation; Household Finance; Structured Products; Stock Market Participation; Finance; Innovation and Invention; Household; Personal Finance; Risk and Uncertainty; Behavior; Market Participation

Article

Market Integration in Developed and Emerging Markets: Evidence from the CAPM

By: Robert Bruner, Wei Li, Mark Kritzman, Simon Myrgren and Sebastien Page

Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which... View Details

January–February 2021
Article

Cross‐firm Return Predictability and Accounting Quality

By: Wen Chen, Mozaffar Khan, Leonid Kogan and George Serafeim

We test the hypothesis that if poor accounting quality (AQ) is associated with poor investor understanding of firms’ revenue and cost structures, then poor AQ stocks likely respond more slowly than good AQ stocks to new non‐idiosyncratic information that affects both... View Details

Keywords: Accounting Quality; Earnings Quality; Stock Returns; Investment Strategy; Accounting; Business Earnings; Quality; Investment Return; Investment; Strategy

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Research Summary

The Role of Financial and Information Intermediaries in the Capital Markets

Hutton's research investigates the role of financial analysts and short sellers in the pricing of equity securities. Recently, Hutton examines (with Patricia Dechow and Richard Sloan) the role of sell-side analysts' earnings forecasts in the pricing of common equity... View Details

07 Jul 2020
Research & Ideas

Market Investors Pay More for Resilient Companies

The steep market drop in the early days of the COVID-19 crisis is being used as a laboratory to study the importance of companies investing in stakeholder relations with their employees, suppliers, and customers, and how those investments could be strategic resources... View Details

Keywords: by Kristen Senz; Financial Services

19 Jan 2011
Research & Ideas

Activist Board Members Increase Firm’s Market Value

conduct an impromptu experiment. They hypothesized that the market reaction to the SEC announcement could help determine whether increasing shareholder power would be considered good or bad in the eyes of the View Details

Keywords: by Carmen Nobel

10 Jul 2000
Research & Ideas

The State of the Markets

Stock Exchange (NYSE); and Robert C. Gasser, managing director and head of U.S. equities at J. P. Morgan & Co. Financial exchanges today, Seifert began, must have the business systems of a technology company, with the requisite speed... View Details

Keywords: by James E. Aisner

April 2012
Article

The Predictive Value of Accruals and Consequences for Market Anomalies

By: Francois Brochet, Seunghan Nam and Joshua Ronen

We revisit the role of the cash and accrual components of accounting earnings in predicting future cash flows using out-of-sample predictions and market value of equity as a proxy for all future cash flows. We find that, on average, accruals improve upon current cash... View Details

Keywords: Forecasting and Prediction; Investment Return; Value; Equity; Markets; Cash Flow; Information Management; Accrual Accounting; Earnings Management; Corporate Governance; Stocks

2000
Other Unpublished Work

New Trading Practices and the Short-run Predictability of the S&P 500: Market Volatility and Investor Confidence, Report to the Board of Directors of the New York Stock Exchange, Inc.

By: André Perold

Keywords: Stocks; Financial Markets; Governing Rules, Regulations, and Reforms; Capital Markets; Volatility; Market Timing

2008
Working Paper

Market Reaction to the Adoption of IFRS in Europe

By: Christopher S. Armstrong, Mary E. Barth, Alan D. Jagolinzer and Edward J. Riedl

This study examines the European stock market reaction to sixteen events associated with the adoption of International Financial Reporting Standards (IFRS) in Europe. European IFRS adoption represented a major milestone towards financial reporting convergence yet... View Details

Keywords: Financial Reporting; International Accounting; Financial Markets; Code Law; Standards; Adoption; Europe

May 2009
Article

Synchronicity and Firm Interlocks in an Emerging Market

By: Tarun Khanna and Catherine Thomas

Stock price synchronicity has been attributed to poor corporate governance and a lack of firm-level transparency. This paper investigates the association between different kinds of firm interlocks, control groups, and synchronicity in Chile. A unique data set... View Details

Keywords: Stocks; Price; Corporate Governance; Governance Controls; Governing and Advisory Boards; Resource Allocation; Emerging Markets; Ownership Stake; Chile

2019
Working Paper

The Wisdom of Crowds in Operations: Forecasting Using Prediction Markets

By: Achal Bassamboo, Ruomeng Cui and Antonio Moreno

Prediction is an important activity in various business processes, but it becomes difficult when historical information is not available, such as forecasting demand of a new product. One approach that can be applied in such situations is to crowdsource opinions from... View Details

Keywords: Wisdom Of Crowds; Demand Forecasting; Price Forecasting; Forecasting and Prediction; Social and Collaborative Networks; Size; Performance