Senior Fellows/Fellows

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Senior Fellows/Fellows

Do Sell-Side Analysts Say "Buy" While Whispering "Sell"?

David HIRSHLEIFER, Yushui SHI, Weili WU
We study how equity analysts disclose different information to the public versus to fund managers to whom they are connected. We examine say-buy/whisper-sell behavior wherein analysts issue optimistic recommendations to attract retail investors while providing more accurate information to fund manag...
Keywords: Analyst recommendations, Mutual fund, Information Transmission
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Senior Fellows/Fellows

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Senior Fellows/Fellows

The UMO (Undervalued Minus Overvalued) Factor

David HIRSHLEIFER, Danling JIANG
This document provides an overview of the UMO factor. It describes its motivation, construction, and how to obtain it and use it. Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms. The UMO factor uses equity and debt financing to identify ...
Keywords: Misvaluation Factor, New Issues, Repurchases, External Financing, Return Predictability
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Senior Fellows/Fellows

Index Investing and Asset Pricing Under Information Asymmetry and Ambiguity Aversion

David HIRSHLEIFER, Siew Hong TEOH, Chong HUANG
In a setting with information asymmetry and a tradable value-weighted market index, ambiguity averse investors hold undiversified portfolios, and assets have nonzero alphas. But when a passive fund offers the risk-adjusted market portfolio (RAMP), whose weights depend on information precisions as we...
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Senior Fellows/Fellows

Payment Timeliness and Firm Performance

David HIRSHLEIFER, Ben LOURIE, Yifan LI, Thomas G. RUCHTI
Payment timeliness in trade credit transactions is a key metric suppliers use to monitor their buyers. However, firms are not required to disclose payment timeliness information. In theory, late payments could be either a positive or negative indicator of future performance. We find that late paymen...
Keywords: trade credit, non-bank lending, customer–supplier relationships, stock returns, private information, supply chain
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Senior Fellows/Fellows

The FIN and PEAD Factors: Motivation, Construction, and Availability

David HIRSHLEIFER, Kent DANIEL, Lin SUN
This document provides an overview of the FIN and PEAD factors of Daniel, Hirshleifer, and Sun (2020) and describes their motivations, constructions, and availability. Based on investor psychology, Daniel, Hirshleifer, and Sun (2020) propose a theoretically motivated factor model that augments the m...
Keywords: Factor Models, Behavioral Factors
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