Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2017

Bonds, Stocks, and Sources of Mispricing

Doron AVRAMOV, Alexander PHILIPOV, Gergana JOSTOVA, Tarun CHORDIA
This paper shows that investor sentiment and financial distress jointly drive the equity overpricing underlying market anomalies. In particular, the intersection of high sentiment and rating downgrades of distressed firms characterizes episodes of inflated stock and bond prices to the extent that as...
Keywords: sentiment, mispricing, anomalies, bonds, stocks, Financial Distress
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Annual Conference

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Accounting, Senior Fellows/Fellows

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May 2017

CEO Contractual Protection and Debt Contracting

Qiang CHENG, Xia CHEN, Alvis K. LO, Xin WANG
CEO employment agreements and severance pay agreements are prevalent among S&P1500 firms. While prior research has examined their impact on corporate decision from shareholders’ perspective, there is little research on their impact from debtholders’ perspective. We examine the effect on debt...
Keywords: employment agreement, severance pay agreement, debt contracting
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2017

Climate Risks and Market Efficiency

Frank Weikai LI, Harrison HONG, Jiangmin XU
Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each year ba...
Keywords: Climate Risks, Climate Change, stock market, Efficiency, return predictability
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Annual Conference

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Accounting

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May 2017

Disclosure Frequency Induced Earnings-Cash Flow Conflict and the Decision to be Public

Vicki W. TANG, Kevin Ke LI
We examine whether disclosure frequency induced earnings-cash flow conflict influences the types of firms that choose to be public. Using the length of the cash conversion cycle to proxy for the disclosure frequency induced conflict between short-term reported earnings and total cash flows, we find ...
Keywords: managerial myopic behavior, mandatory disclosure frequency, earnings-cash flow conflict
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Annual Conference

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Corporate Finance

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May 2017

Do CEOs Deserve their Raises? Evidence from Stock Returns after Subjective Performance Reviews

Yiqing LU, Moqi GROEN-XU, Peggy HUANG
This paper studies the information content of CEO subjective performance reviews. We propose a novel proxy of positive reviews based on evidence of real CEO contracts: salary raises. It shows that performance review outcomes predict long-term stock returns. A long–short portfolio strategy that inv...
Keywords: subjective performance reviews, research and development, innovation, Stock Returns, Soft information
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