Annual Conference

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Accounting

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May 2021

What Should Investors Care About? Mutual Fund Ratings by Analyst vs Machine Learning Technique

Si CHENG, Xiaojun ZHANG, Ruichang LU
We examine two forward-looking mutual fund ratings: the analyst rating produced by human analysts and the quantitative rating generated by a machine learning technique. The analyst rating identifies outperforming funds, while the quantitative rating does not—this difference derives mostly from the...
Keywords: Analyst Rating, Quantitative Rating, Mutual Funds, Information provision, machine learning
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Annual Conference

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Accounting, Senior Fellows/Fellows

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May 2021

Mandatory Data Breach Disclosure and Insider Trading

Xiaoli (Shaolee) TIAN, Gilles HILARY, Xi CHEN
Recent data breach have generated concerns that insiders might use cyber risk related nonpublic information in their trading. Using the staggered adoption of data breach notification laws at the state level, we examine whether mandatory breach disclosure affects insider selling behavior. We find tha...
Keywords: Cybersecurity, Data breach, regulation, Disclosure, insider trading
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Annual Conference

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Accounting

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May 2021

Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Frank Weikai LI, Chengzhu SUN
Using a novel dataset containing investors' access of company filings through the SEC's EDGAR system, we show that the abnormal number of IPs searching for firms' financial statements strongly predicts future stock returns and firm fundamentals. A long-short portfolio based on our measure of informa...
Keywords: Information Acquisition, EDGAR Search, SEC Filings
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Annual Conference

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Accounting

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May 2021

The Role of External Regulators in Mergers and Acquisitions: Evidence from SEC Comment Letters

Tao SHU, Jasmine WANG, Erin TOWERY, Tingting LIU
This study examines the role of the Securities and Exchange Commission (SEC) in mergers and acquisitions (M&As) involving publicly traded target firms. We find that deals receiving comment letters have an increased likelihood of deal completion and deal price revision, consistent with the SEC re...
Keywords: Information transparency, M&A, SEC, Comment letters, Shareholder welfare, Corporate governance, Deal outcomes
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Annual Conference

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Accounting

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May 2021

Is Myopia Contagious? The Effect of Investor Culture on Corporate Disclosure Time Orientation

Patricia NARANJO, Francois BROCHET, Heather LI
We examine the effect of cultural heterogeneity on corporate disclosure time orientation and its capital market consequences. To measure firms’ and investors’ cultural time orientation, we use their home country’s long-term orientation (LTO) and the dominant language future time reference (FTR...
Keywords: Cultural heterogeneity, capital market, liquidity, equity
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