Search Result

Members' Digest

|

2018

Sexy or Safe: Why do Predicted Stock Issuers Earn Low Returns?

Charles M. C. LEE
Predicted stock issuers (PSIs) are firms with expected “high-investment and low-profit” (HILP) profiles that earn unusually low returns. We carefully document important features of PSI firms to provide new insights on the economic mechanism behind the HILP phenomenon. Our results show top-PSI fi...
Keywords: Charles M.C. LEE, Ken LI
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Evaluating Firm-Level Expected-Return Proxies: Implications for Estimating Treatment Effects

Charles M. C. LEE, Eric C. SO, Charles C.Y. WANG
We argue, from an extensive literature review, that in the vast majority of research settings, biases in alternative expected-return proxies (ERPs) are irrelevant. Therefore, in most settings, the choice between alternative ERPs should be based on an evaluation of their relative measurement-error va...
Keywords: Expected-Return Proxies, finance, implied cost of capital, time-series
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Reverse Mergers, Shell Value, and Regulation

Charles M. C. LEE, Yuanyu QU, Tao SHEN
Using a comprehensive sample of reverse merger (RM) transactions, we examine the effects of China’s IPO regulations on the prices and returns of its publicly listed stocks. During 2007-2015, unlisted Chinese firms paid an average of 3 to 4 Billion RMB for each listed shell, an amount exceeding 2/3...
Keywords: reverse mergers, shell value, anomalies, regulation risk, IPOs, Chinese equity markets
  • View
  • Download
  • Bookmark
  •    |   

Senior Fellows/Fellows

|

Senior Fellows/Fellows

Technological Links and Predictable Returns

Charles M. C. LEE, Stephen TENG Sun, Rongfei WANG, Ran ZHANG
This paper finds evidence of return predictability across technology-linked firms. Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firms’ returns.  A long-short strategy based on this ...
Keywords: Technology momentum, Stock Returns, return predictability, patents, technological closeness, limited attention, market efficiency
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Corporate Finance, Senior Fellows/Fellows

|

May 2013

Shell Games: The Long Term Performance of Chinese Reverse Merger Firms

Ran ZHANG, Kevin Ke LI, Charles M. C. LEE
We examine the financial health and performance of reverse mergers (RMs) that became active on U.S. stock markets between 2001 and 2010, particularly those from China (around 85% of all foreign RMs). As a group, RMs are early-stage companies that typically trade over-the-counter. Chinese RMs (CRMs),...
Keywords: reverse mergers, listing requirements, Chinese firms, accounting fraud, cash flow life cycle, private-equity (PIPE) financing
  • View
  • Download
  • Bookmark
  •    |