Annual Conference

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Accounting

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May 2018

Do Exchange Traded Funds affect the processing of Earnings Information?

Partha MOHANRAM, Suning ZHANG, Sanjeev BHOJRAJ
We examine whether an increase in ETF ownership is accompanied by a decline in pricing efficiency for the underlying component securities. Our tests show an increase in ETF ownership is associated with: (1) higher trading costs (bid-ask spreads and market liquidity); (2) an increase in “stock retu...
Keywords: Exchange traded funds (ETFs), Uninformed and informed traders, Costly information, Trading costs, Market pricing efficiency, Informative prices.
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Annual Conference

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Accounting

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May 2018

Institutional Cross-holdings and Generic Entry in the Pharmaceutical Industry

Jin XIE, Joseph GERAKOS
Brand-name pharmaceutical companies often file lawsuits against generic drug manufacturers that challenge the monopoly status of patent-protected drugs. Institutional horizontal shareholdings, measured by the generic shareholders’ ownership in the brand-name company relative to their ownership in ...
Keywords: common ownership, Institutional investor, Product market entry, Pharmaceutical industry, Patent infringement lawsuit, Settlement agreement, Antitrust
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

Thai Inflation Dynamics: A View from Disaggregated Price Data

Piti DISYATAT, Pym MANOPIMOKE, Tosapol APAITAN
This paper utilizes disaggregated prices at the micro level to examine the patterns of price adjustment in Thailand. Among the key stylized facts, we found that the frequency of price changes are generally low, prices decreases are common, the size of price changes are large relative to the inflatio...
Keywords: Factor model, inflation, price rigidity, price setting, relative prices, Phillips curve
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

A Unified Measure of Fed Monetary Policy Shocks

John ROGERS, Chunya BU, Wenbin WU
We develop a U.S. monetary policy shock series that stably bridges periods of conventional and unconventional policymaking, is largely unpredictable, and contains no significant central bank information effect. We attribute differences between our measure and often-used alternatives to our econometr...
Keywords: Monetary policy shocks, Policymaking, interest rates, inflation
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Annual Conference

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Corporate Finance

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May 2017

Does the Market Correctly Value Investment Options?

Egor MATVEYEV, Evgeny LYANDRES, Alexei ZHDANOV
This paper shows that the stock market misprices firms' investment options. We build a real options model of optimal investment under uncertainty to estimate the value of firms' investment options. We show that firms with valuable investment options have a higher likelihood of being mispriced. Impor...
Keywords: Misvaluation, Investment Options, Optimal Investment, Demand Uncertainty, Future Returns, structural estimation
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