Annual Conference

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Investment Finance

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May 2018

Are Disagreements Agreeable? Evidence from Information Aggregation

Dashan HUANG, Jiangyuan LI, Liyao WANG, Guofu ZHOU
Most studies on disagreement focus on cross-sectional asset returns and the well-recognized disagreement measures generally cannot predict the stock market with a horizon less than 12 months. This paper proposes three aggregate disagreement indexes by aggregating information across 20 disagreement m...
Keywords: Disagreement, Market risk premium, Predictability, Information aggregation, PLS
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Annual Conference

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Investment Finance

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May 2016

Anomalies and News

Joseph ENGELBERG, R. David MCLEAN, Jeffrey PONTIFF
Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and are 6 times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing via biased expectations, and data mining. We develop and conduct unique t...
Keywords: News, anomalies, Cross-sectional return predictability, earnings announcements, market efficiency
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Anomalies and False Rejections

Tarun CHORDIA, Amit GOYAL, Alessio SARETTO
We use information from over 2 million trading strategies randomly generated using real data and from strategies that survive the publication process to infer the statistical properties of the set of strategies that could have been studied by researchers. Using this set, we compute t-statistic thres...
Keywords: Hypothesis Testing, Asset Pricing, Trading volume, Bond Interest Rates
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Annual Conference

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Investment Finance

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May 2023

Alpha Go Everywhere: Machine Learning and International Stock Returns

Darwin CHOI, Wenxi JIANG, Chao ZHANG
We apply machine learning techniques to predict international stock returns using firm characteristics. Market-specific features are important, as neural network models (NNs) achieve stronger results when they are trained in each market separately than in a global model trained with U.S. data. NNs o...
Keywords: International Asset Pricing, Cross-section of Stock Returns, Market Integration, Neural Networks, Regression Trees
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2017

Air Pollution, Behavioral Bias, and the Disposition Effect in China

Hong ZHANG, Massimo MASSA, Jennifer Jie LI, Jian ZHANG
Inspired by the recent health-science findings that air pollution reduces human cognitive skills, we examine whether air pollution can intensify cognitive bias observed in the financial markets. Based on a proprietary dataset obtained from a large mutual fund family in China, which contains the comp...
Keywords: Air Pollution, The Disposition Effect, Mutual Funds
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