Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Long-term Earnings Forecasts, Managerial Distortion, and Stock Returns

Zhenghui NI, Allaudeen HAMEED, Massimo MASSA
We explain stock mispricing linked to long-term expectations of earnings growth in terms of managerial manipulation in high-growth conglomerates. Manipulation does not affect analysts’ forecasts of conglomerate earnings, which are more accurate relative to pseudo-conglomerates. The combined effect...
Keywords: overreaction, analyst forecasts, return predictability, earnings predictability, managerial manipulation, conglomerates
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2023

Portfolio Rebalancing and Consumption Response of Households to Monetary Policy Shocks

Yeow Hwee CHUA, Sumit AGARWAL, Pulak GHOSH, Changcheng SONG
Using micro-level administrative data from India, we examine the portfolio rebalancing and consumption response of households to changes in interest rate. By exploiting variation in the timing of expiry of term deposits, we find that when interest rate falls, households rebalance their portfolio fro...
Keywords: Monetary Policy, Household Finance, Portfolio Rebalancing, Consumption, Savings, Liquidity
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Annual Conference

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Investment Finance

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May 2023

Investor Memory and Biased Beliefs: Evidence from the Field

Hongqi LIU, Zhengyang JIANG, Cameron PENG, Hongjun YAN
We survey a large representative sample of retail investors to elicit their memories of stock market investment and return expectations. We then merge the survey data with administrative data of transactions to test a model in which investors form expectations by selectively recalling past experienc...
Keywords: investor belief, memory, survey, extrapolation
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Annual Conference

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Investment Finance

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May 2023

What's in Investors' Information Sets?

Alberto G. ROSSI, Hagit LEVY, Ron SHALEV, Emanuel ZUR
We exploit a unique dataset to study how the information sets of retail and institutional investors evolve over time and how changes in investors’ information sets relate to stock price dynamics. Changes in stock following are positively related to future stock returns at horizons shorter than one...
Keywords: Investments , attention, information set, news
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Annual Conference

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Investment Finance

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May 2023

Staking, Token Pricing, and Crypto Carry

Lin William CONG, Zhiheng HE, Ke TANG
The phenomenal rise of cryptocurrencies and decentralized finance have prominently featured “staking”: Besides offering a convenience yield for transactions as digital media of exchange, tokens are frequently staked (and slashed) for base-layer consensus generation or for incentivizing economic ...
Keywords: Blockchain, DeFi, Proof-of-Stake, Yield Farming, Tokenomics
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