Annual Conference

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Investment Finance

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May 2015

Investor Attention: Seasonal Patterns and Endogenous Allocations

Peng LIN, Hongqi LIU
Using a Google search-based measure of investor attention, this paper investigates investor attention patterns and its determinants. We document that investor attention displays strong seasonality. It is significantly lower on Fridays and in summer months. We find that investor attention increases s...
Keywords: limited attention, information processing, attention allocation, information efficiency
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Annual Conference

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Investment Finance

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May 2015

Is Information Risk Priced? Evidence from Abnormal Idiosyncratic Volatility

Bohui ZHANG, Yung Chiang YANG, Chu ZHANG
We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of normal levels. Using earnings announcements as info...
Keywords: Information Risk, Idiosyncratic Volatility, Earnings Announcement, Expected Returns
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Annual Conference

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Investment Finance

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May 2015

Learning about the Neighborhood: The Role of Supply Elasticity for Housing Cycles

Gao ZHENYU, Michael SOCKIN, Wei XIONG
Motivated by an intriguing observation during the recent U.S. housing cycle that counties with housing supply elasticities in an intermediate range experienced the most dramatic price booms and busts, this paper develops a model to analyze information aggregation and learning in housing markets. In ...
Keywords: Elasticity, price boom, housing market;housing cycle
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Annual Conference

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Corporate Finance

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May 2015

Learning through a Smokescreen: Earnings Management and CEO Compensation over Tenure

Nandini GUPTA, Cristina CELLA, Andrew ELLUL
Career concerns may lead CEOs to distort reported performance (Fudenberg and Tirole (1995)), particularly in the early years of tenure when there is greater uncertainty about the CEO’s ability. We investigate whether the presence of reporting distortions affects CEOs’ compensation over their ten...
Keywords: executive compensation, Tenure, Earnings Management, Career Concerns
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Annual Conference

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Economic Transformation of Asia

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May 2015

Mandatory Retirement and the Consumption Puzzle: Prices Decline or Quantities Decline?

Dennis T YANG, Dong YINGYING
This paper investigates household consumption changes at retirement by utilizing a comprehensive, diary-based household survey from China. The survey contains both consumption quantity and price information, which permits separating quantity changes from price changes. The mandatory retirement polic...
Keywords: Retirement, consumption puzzle, Mandatory retirement, regression discontinuity, Consumption vs. expenditure, Time use, Home production
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