Annual Conference

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Investment Finance

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May 2017

Patent Thickets, Stock Returns, and Conditional CAPM

Po-Hsuan HSU, Hsiao-Hui LEE, Tong ZHOU
When firms innovate on the basis of prior patents dispersedly owned by different patent assignees, the fragmented patent ownership results in patent thickets that adversely affect the commercialization of these firms’ inventions. We develop a real option model that suggests a negative effect of pa...
Keywords: Patent Thicket, Technology Application, Litigation, New Product, Stock Return
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Annual Conference

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Investment Finance

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May 2016

Option Return Predictability

Bing HAN, Jie CAO, Qing TONG, Xintong ZHAN
We uncover new return predictability in the cross-section of delta-hedged equity options. Expected returns to writing delta-hedged calls are negatively correlated with stock price, profit margin and firm profitability, but positively correlated with cash holding, cash flow variance, new shares issua...
Keywords: Cross-section of equity options, delta-hedged options, return predictability, stock characteristics, option factor model
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?

Yongheng DENG, Shang-Jin WEI, Xin LIU
We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by augmenting a double differencing approach with a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges, binding cap...
Keywords: Tobin tax, Transaction costs, price volatility, Chinese stocks
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Annual Conference

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Investment Finance

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May 2014

Mutual Fund Competition, Managerial Skill, and Alpha

Nagpurnanand PRABHALA, Gerard HOBERG, Nitin KUMAR
What economic forces limit mutual fund managers from generating consistent outperformance? We propose and test the hypothesis that buy-side competition from other funds matters. We make three contributions. First, we propose new style-based spatial methods to identify the customized rivals of each f...
Keywords: Mutual Funds, alpha, skill, persistence, Competition, peers, benchmarking
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2019

Molecular Genetics Risk Aversion Return Perceptions and Stock Market Participation

Laura STARKS, Richard SIAS, H. J. TURTLE
We show that molecular variation in DNA related to cognition, personality, health, and body shape, predicts an individual’s equity market participation and risk aversion. Moreover, the molecular genetic endowments predict individuals’ return perceptions, most of which we find to be strikingly bi...
Keywords: Molecular genetics, stock market participation, risk aversion, genetic endowments
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