Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2014

Short-Term Reversals: The Effects of Past Returns and Institutional Exits

Si CHENG, Allaudeen HAMEED, Sheridan TITMAN, Avanidhar SUBRAHMANYAM
We present a model where the magnitude of return reversals depends on the number of informed investors as well as the number of active but uninformed investors that play a market making role. Consistent with the model, return reversals are temporarily higher following declines in the number of activ...
Keywords: Short-Term Reversals, Liquidity provision
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2014

The Information Value of Credit Rating Reports

Sumit AGARWAL, Vincent CHEN, Weina ZHANG
We test if Standard & Poor's (S&P) credit rating reports contain valuable information beyond credit ratings. We find that positive (negative) linguistic tone in the reports are significantly related to positive (negative) abnormal returns at the time of downgrade announcement and the tone ca...
Keywords: Credit Ratings, Credit Rating Agencies, Credit Rating Reports, Linguistic Tone
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

International Macroeconomics, Money & Banking

|

May 2014

The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market

Yin-Wong CHEUNG, Dagfinn RIME
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order flow...
Keywords: foreign exchange market microstructure, order flow, limit-order imbalance, CNH, CNY, central parity rate
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance

|

May 2014

Limited Attention, Marital Events, and Hedge Funds

Melvyn TEO, Sugata RAY, Yan LU
We explore the impact of limited attention by analyzing the performance of hedge fund managers who are distracted by marital events. We find that marriages and divorces are associated with significantly lower fund alpha, during the six-month period surrounding and the two-year period after the event...
Keywords: hedge funds, limited attention, Behavioral finance, disposition effect, Marriage, Divorce
  • View
  • Download
  • Bookmark
  •    |   

Annual Conference

|

Investment Finance, Senior Fellows/Fellows

|

May 2014

When Real Estate is the Only Game in Town

Harrison HONG , Jeffrey P. THOMPSON, Hyun-Soo CHOI , Jeffrey D. KUBIK
Using data on household portfolios and mortgage originations, we find that households residing in a city with few publicly traded firms headquartered there are more likely to own an investment home nearby. Households in these areas are also less likely to own stocks. This only-game-in-town effect is...
Keywords: Real estate, homeownership, household portfolios, mortgage originations
  • View
  • Download
  • Bookmark
  •    |