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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Annual Conference

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Investment Finance

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May 2016

It Depends on Where You Search: Institutional Investor Attention and Underreaction to News

Zhi DA, Azi BEN-REPHAEL, Ryan D. ISRAELSEN
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
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Is Stock Index Membership for Sale?

Shang-Jin WEI, Kun LI, Xin LIU
While major stock market indices are followed by large monetary investments, we document that membership decisions for S&P 500 have a nontrivial amount of discretion. We show that firms’ purchases of S&P ratings appear to improve their chance of entering the index (but purchases of Moodyâ€...
Keywords: S&P 500, Conflict of interest, Credit rating, Stock index
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Annual Conference

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Investment Finance

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May 2022

Is Stock Index Membership for Sale?

Shang-Jin WEI, Kun LI, Xin LIU
While major stock market indices are followed by large monetary investments, we document that membership decisions for S&P 500 have a nontrivial amount of discretion. We show that firms’ purchases of S&P ratings appear to improve their chance of entering the index (but purchases of Moodyâ€...
Keywords: S&P 500, Conflict of interest, Credit rating, Stock index
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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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