Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Who are the Sentiment Traders? Evidence from the Cross-section of Stock Returns and Demand

Laura STARKS, Luke DEVAULT, Richard SIAS
Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Given that the market clearing condition requires a buyer for every seller, we exploit these cross-sectional patterns and changes in share ownership to test whether investor sentiment me...
Keywords: Stock Returns, sentiment, demand shocks, mispricing
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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

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May 2013

CMBS Subordination, Ratings Inflation and Regulatory-Capital Arbitrage

Richard STANTON, Nancy WALLACE
Using detailed origination and performance data on a comprehensive sample of commercial mortgage-backed security (CMBS) deals, along with their underlying loans and a set of similarly rated residential mortgage-backed securities (RMBS), we apply reduced-form and structural modeling strategies to tes...
Keywords: CMBS, RMBS, rating inflation, regulatory-capital arbitrage
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2013

Defined Contribution Pension Plans: Sticky or Discerning Money?

Clemens SIALM, Laura STARKS, Hanjiang ZHANG
Participants in defined contribution (DC) retirement plans rarely adjust their portfolio allocations, suggesting that their investment choices and consequent money flows are sticky and not discerning. However, participants’ inertia could be offset by DC plan sponsors, who adjust the plan’s inves...
Keywords: Flow-Performance Sensititivity, Defined Contribution Pension Plans, Retirement Savings
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2013

Speculative Investors and Transactions Tax: Evidence from the Housing Market

Wenlan QIAN, Bernard YEUNG, Yuming FU
This paper examines the impact of rising transaction tax on trade volume, price volatility and informativeness. We take advantage of a policy change in Singapore that effectively raised the transaction cost for real estate speculators in only one submarket. Based on a difference-indifferences analys...
Keywords: transaction tax, volatility, speculators, informed traders, noise traders
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