Commentaries

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Senior Fellows/Fellows, 2020, Pandemic

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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

We present a model where the magnitude of return reversals depends on the number of informed investors as well as the number of active but uninformed investors that play a market making role. Consistent with the model, return reversals are temporarily higher following declines in the number of activ...
Keywords: Short-Term Reversals, Liquidity provision
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Recent theories suggest that both risk and mispricing are associated with commonality in security returns, and that the loadings on characteristic-based factors can be used to predict future returns. We offer a parsimonious model which features: (1) a factor motivated by limited attention that is d...
Keywords: Factor Models, anomalies, Behavioral Factors
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2013

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
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Annual Conference

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Corporate Finance, Senior Fellows/Fellows

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May 2016

We study a widespread yet under-explored corporate governance phenomenon: the pledging of company stock by insiders as collateral for personal bank loans. Utilizing a regulatory change that exogenously decreases pledging, we document a negative causal impact of pledging on shareholder wealth. We stu...
Keywords: Pledging, Managerial incentive, Downside risk, risk-taking, Payout policy
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