Senior Fellows/Fellows

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Senior Fellows/Fellows

Business Groups and Employment

Mara FACCIO, William OBRIEN
Using a newly assembled 50 country firm-level database spanning 19 years, we document that business group affiliated firms display substantially less pronounced fluctuations in employment than unaffiliated firms in response to economic shocks. The results are robust to a variety of tests designed to...
Keywords: business groups, Employment, Business Cycles
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Decision Fatigue and Heuristic Analyst Forecasts

David HIRSHLEIFER, Yaron LEVI, Ben LOURIE, Siew Hong TEOH
Psychological evidence indicates that decision quality declines after an extensive session of decision-making, a phenomenon known as decision fatigue. We study whether decision fatigue affects analysts’ judgments. Analysts cover multiple firms and often issue several forecasts in a single day. We ...
Keywords: Analysts, Decision Fatigue, Heuristic, Behavioral finance
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Senior Fellows/Fellows

One Brief Shining Moment(um) - Past Momentum Performance and Momentum Reversals

David HIRSHLEIFER, Usman ALI, Kent DANIEL
Motivated by behavioral theories, we test whether recent past performance of the momentum strategy (Past Momentum Performance—PMP) negatively predicts the per-formance of stale momentum portfolios. Following periods of top-quintile PMP, mo-mentum portfolios exhibit strong reversals 2-5 years after...
Keywords: Momentun strategy, Value-weighted trading strategy
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Senior Fellows/Fellows

Short and Long Horizon Behavioral Factors

David HIRSHLEIFER, Kent DANIEL, Lin SUN
Recent theories suggest that both risk and mispricing are associated with commonality in security returns, and that the loadings on characteristic-based factors can be used to predict future returns. We offer a parsimonious model which features: (1) a factor motivated by limited attention that is d...
Keywords: Factor Models, anomalies, Behavioral Factors
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Reverse Mergers, Shell Value, and Regulation

Charles M. C. LEE, Yuanyu QU, Tao SHEN
Using a comprehensive sample of reverse merger (RM) transactions, we examine the effects of China’s IPO regulations on the prices and returns of its publicly listed stocks. During 2007-2015, unlisted Chinese firms paid an average of 3 to 4 Billion RMB for each listed shell, an amount exceeding 2/3...
Keywords: reverse mergers, shell value, anomalies, regulation risk, IPOs, Chinese equity markets
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