Senior Fellows/Fellows

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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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Senior Fellows/Fellows

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Senior Fellows/Fellows

Technological Links and Predictable Returns

Charles M. C. LEE, Stephen TENG Sun, Rongfei WANG, Ran ZHANG
This paper finds evidence of return predictability across technology-linked firms. Employing a classic measure of technological closeness between firms, we show that the returns of technology-linked firms have strong predictive power for focal firms’ returns.  A long-short strategy based on this ...
Keywords: Technology momentum, Stock Returns, return predictability, patents, technological closeness, limited attention, market efficiency
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

Fiscal Conditions and Long-term Interest Rates

Koji NAKAMURA, Tomoyuki YAGI
We conduct a quantitative analysis of the effects of fiscal conditions and other factors on nominal long-term interest rates based on panel data of 23 member states of the Organisation for Economic Co-operation and Development (OECD) for the period from 1980 to 2013. In addition to labor productivit...
Keywords: Long-term interest rate, Fiscal balance, Debt outstanding, Current account, National burden ratio, Fiscal reconstruction, monetary policy
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Annual Conference

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Accounting, Senior Fellows/Fellows

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May 2016

The effect of anti-corruption campaign on shareholder value in a weak institutional environment: Evidence from China

Bin KE, Na LIU, Song TANG
We examine the impact of Chinese President Xi Jinping’s anti-corruption campaign on shareholder value of publicly listed Chinese firms. We find that the anticorruption campaign reduces the profitability of the firms that sell luxury goods and services. The anti-corruption campaign helps reduce exc...
Keywords: China, anti-corruption regulation, SOE, firm performance, event study
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