Annual Conference

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Investment Finance

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May 2021

Attention Spillover in Asset Pricing

Jianfeng YU, Li AN, Xin CHEN
Exploiting a screen display feature whereby the order of stock display is determined by the stock listing codes, we lever a novel identification strategy and study the impact of attention spillover on stock prices and turnover. We find that stocks with neighbors on the display that experience higher...
Keywords: limited attention, overconfidence, attention spillover, price impact, return predictability
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2021

Is Hard and Soft Information Substitutable? Evidence from the Lockdowns

Massimo MASSA, Jennie BAI
We study information substitutability in the financial market through a quasi-natural experiment: the pandemic-triggered lockdown that has hampered people's physical interactions hence the ability to collect, process, and transmit soft information. Exploiting the cross-sectional and time-series vari...
Keywords: Mutual Funds, Soft information, COVID-19, proximity investing, performance
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Annual Conference

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Investment Finance

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May 2021

Taking Sides on Return Predictability

R. David MCLEAN, Jeffrey PONTIFF, Christopher REILLY
We study how 9 different market participants trade with respect to 130 different stock return anomalies and how each participant’s trades predict returns. Retail investors trade against anomalies, while firms’ and short sellers’ trades agree with anomalies. Institutional portfolios are weighte...
Keywords: Trading, return predictability, retail investors, institutions.
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Annual Conference

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Corporate Finance

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May 2021

Competitive Effects of IPOs: Evidence From Chinese Listing Suspensions

Mark M. SPIEGEL, Frank PACKER
Theory suggests that initial public offerings (IPOs) can adversely impact listed firms, both directly by increasing intra-industry competition, and indirectly by completing related asset market spaces. However, the endogeneity of individual IPO activity hinders testing these channels. This paper exa...
Keywords: Initial public offerings, China, Competition, asset space
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Annual Conference

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Corporate Finance

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May 2021

Firm Boundaries and Political Uncertainty: Evidence from State Elections in India

Arkodipta SARKAR
Using subsidiary-level data for Indian firms and staggered elections across Indian states, I find that political uncertainty’s impact on firm performance varies by organizational form. I find that the gap in leverage ratio between subsidiaries of conglomerate and stand-alone firms widen by 15% in ...
Keywords: Conglomerate, stand-alone, Political uncertainty, Leverage, Misallocation
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