Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2013

Buyers Versus Sellers: Who Initiates Trades And When?

Tarun CHORDIA, Amit GOYAL, Narasimhan JEGADEESH
Models that examine investor’s motivations to trade often make opposite predictions about the relation between trading decisions and past returns. We find that, in the aggregate, both buyer- and seller-initiated trades increase with past returns. The difference between buyer- and seller-initiated ...
Keywords: Order imbalance, disposition effect, tax-loss selling
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2017

Bonds, Stocks, and Sources of Mispricing

Doron AVRAMOV, Alexander PHILIPOV, Gergana JOSTOVA, Tarun CHORDIA
This paper shows that investor sentiment and financial distress jointly drive the equity overpricing underlying market anomalies. In particular, the intersection of high sentiment and rating downgrades of distressed firms characterizes episodes of inflated stock and bond prices to the extent that as...
Keywords: sentiment, mispricing, anomalies, bonds, stocks, Financial Distress
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Annual Conference

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Investment Finance

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May 2022

Birth order and fund manager’s trading behavior: Role of sibling rivalry

Vikas AGARWAL, Alexander COCHARDT, Stephan HELLER, Vitaly ORLOV
This paper investigates the role of birth order on managerial behavior using rich data on familial background of US mutual fund managers. We find that managers who are born later in the sibling hierarchy take on more investment risks relative to first-born managers. Later-born managers deviate more ...
Keywords: birth order, mutual fund manager, fund risk, parental resources, evolutionary psychology, sibling rivalry
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2022

Biased Expectations and Credit Risk in the Municipal Bond Market

Tarun CHORDIA, Jinoug JEUNG, Abinash PATI
We show that the pricing of credit risk in the municipal bond market depends on the salience of its underlying cash-flow shocks. We find that public mass shootings raise borrowing costs of issuers in affected counties by an average of 6 (5.2) basis points in the secondary (primary) market. This incr...
Keywords: Biased Beliefs, Public Mass Shootings, Municipal Debt, Salience
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Annual Conference

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Investment Finance

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May 2021

Best Short

Pasquale Della CORTE, Robert KOSOWSKI, Nikolaos P. RAPANOS
We infer investors' expectations about future stock returns through a measure of short conviction that exploits net short positions disclosed at the investor-stock level for European stock markets. A strategy that sells high-conviction stocks and buys low-conviction stocks, named Best Short, generat...
Keywords: Disclosure, Short-sale performance, anomalies, Hedge Funds.
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