Stock-Price Effects of Internet Buy-Sell Recommendations: The Motley Fool Case

The Motley Fool has attracted significant notoriety for stock market buy‐sell advice on the Internet. Across five different investment portfolios, Motley Fool buy recommendations appear to generate an average 1.62% rise in stock prices on the announcement day (0), and 2.40% returns over the announcement period (?1, +1). Sell recommendations seem to cause a ?1.49% announcement day return, and a ?3.33% announcement period return. Small cap growth stock buy recommendations for The Motley Fool's flagship Rule Breaker Portfolio are associated with returns of 3.66% on the announcement day, and a 6.15% return over the announcement period. These findings suggest herd‐like behavior among Internet investors, and that such announcements are more newsworthy than second‐hand buy‐sell recommendations published in traditional print and electronic media.     

Frothy Housing Markets and Local Stock-Price Movements

Prior empirical research finds habitat effects manifest in stock pricing among firms that share headquarters cities. We empirically investigate whether trends in residential real estate prices affect headquarters-city stock pricing phenomena for companies across U.S. metro areas for 1989?C2004. Specifically, we hypothesize that stocks of firms headquartered in ??hot?? residential real estate markets experience higher returns compared to stocks of firms from ??cold?? markets. We also hypothesize that stocks of firms headquartered in hot real estate markets display stronger return comovement with same-city stocks. We find support for these hypotheses during the 1999?C2004 sample period which coincides with the start of the housing bubble of the 2000?s; we find mixed results in earlier periods. Our findings indicate that city-specific home price patterns conditionally affect stock pricing of local firms, suggesting that investor behavior is influenced by localized shocks to household real estate wealth.     

Reversal of Monday returns

This paper elaborates an interesting aspect of the Monday anomaly: Monday returns are relatively more likely to reverse over the subsequent days. We document that, although the Monday low-return anomaly disappeared, the subsequent reversal of Monday returns remains robust to date. The reversals, measured over a five-day horizon, are pervasive across international stock markets, reasonably stable over time, significant following both positive and negative Monday returns, and not confined to extreme Monday returns. Trading strategies designed to exploit these reversals earn economic profits. We examine potential explanations for the reversal of Monday returns using trading flows data of investor types from Korea. All predictions of the Foster and Viswanathan [J. Finance, 1993, 48, 187–211] model are confirmed: volatility is higher, trading volume is lower, market depth is lower and price impact costs are higher on Mondays. The model implies lower price quality on Mondays, but does not specifically predict reversal of Monday returns. We show that the trading intensity of international/institutional investors is lower on Mondays. This appears to make the market relatively more susceptible to individual investors’ trading, which is negatively correlated with international/institutional investors. Thus, Monday returns are relatively more likely to reverse during the subsequent days of the week when institutional investors trade more aggressively.     

Uncertainty and the Cost of Reversal

For standard irreversibility theory the prospect of acquiring better information in the future should induce more flexible decisions: the “irreversibility effect”. This result relies on the definition of an irreversible position as one that would be technically or economically impossible to reverse. In practice, many positions can be reversed at an affordable cost. In this case an increase in informativeness alone is not enough to bias decisions in favour of more flexibility. We look for restrictions on decision sets, information structures and preferences that make possible to study the effect of information on flexibility. JEL Classification No: D81, D9     

The Cost of Multiple Large Shareholders

Previous research argues that large noncontrolling shareholders enhance firm value because they deter expropriation by the controlling shareholder. We propose that the conflicting incentives faced by large shareholders may induce a nonlinear relationship between the relative size of large shareholdings and firm value. Consistent with this prediction, we present evidence that there are costs to having a second (and third) largest shareholder, especially when the largest shareholdings are similar in size. Our results are robust to various relative size proxies, firm performance measures, model specifications, and potential endogeneity issues.     

The Reversal of the Monday Effect: New Evidence from US Equity Markets

This article re-examines the Monday effect in the US stock market from 1964–1999 using daily returns from three large-cap indexes and two small-cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings. In the post-1987 period, we uncover a significant reversal of the Monday effect in the large-cap indexes (NYSE, S&38;P500 and DJCOMP), since Monday returns are significantly positive. Furthermore, significant differences in the persistence and reversal of the Monday effect are found between large-cap and small-cap stock indexes.     

大互联网时代正在强势崛起

2014年国家频频出台各种政策鼓励创业投资市场的发展,中国经济转型步伐加速,相比较于传统行业,互联网行业、电信及增值业务行业、互联网金融行业和生物技术/医疗健康行业等新兴行业,以其良好的发展前景,飞快的增长业绩以及巨大的未来空间而受到投资机构的火热追捧清科集团旗下私募通根据公开信息统计显示,2014年11月共发生投资案例123起,披露金额案例数102起,总投资金额达13.00亿美元,投资数量环比上月上升3.4%,投资金额环比下跌8.2%。从投资案例的数量来看,最活跃的行业莫过于互联网行业,互     

The Impact of Large Portfolio Insurers on Asset Prices

We develop a simple model in which the presence of portfolio insurers in a market of risk-averse traders leads to multiple equilibria for the pricing of financial assets and can cause an increase in volatility, including insurance-induced price drops. We demonstrate, however, that centralized portfolio insurance firms may actually reduce, not increase, volatility, even if the existence of these firms increases the total amount of funds under insurance.     

对固定资产减值损失转回会计处理的一些思考

财政部《关于执行(企业会计制度)和相关会计准则有关问题解答(四)》(财会[2004]3号,以下简称《解答四》), 对转回固定资产减值准备的会计处理作了规定。针对该规定提出的固定资产减值损失转回的金额计算方法和会计处理规定,作者提出不同看法,供同行们讨论和研究时参考。     

当前大型银行面临的主要风险

当前,宏观调控力度不断加强,人民币升值压力日益加大,资产价格回归态势已经显现,大型银行面临的经济环境正在发生变化。科学识别新市场形势下大型银行经营面临的新风险,是有效防范和化解大型银行风险、确保大型银行持续稳健发展的基础。     

The Determinants of the Leasing Decision of Small and Large Companies

We analyse the leasing decision of more than 3000 UK quoted and unquoted companies over the sample period 1982–1996. We show that, for the sample as a whole, companies that use leasing are more likely to have tax losses, high fixed capital investment, high debt-to-equity ratio and to be larger than companies that do not use leasing. We show, however, that the determinants of leasing are not homogeneous across firms of different size. For large companies, leasing, profitability, leverage and taxation are positively correlated. In contrast, for small companies, the leasing decision is not driven by taxation or by profitability, but by growth opportunities. We show that small firms with high Tobin's q and those that are less profitable are more likely to use leasing.     

The Certification Role of Large Customers in the New Issues Market

This paper examines the certification role of large customers and finds that IPO firms that have product market relationships with large customers experience higher valuation and better long-term performance compared to IPOs without such relationships. This higher valuation is more pronounced when product market relationships are able to alleviate IPO uncertainties, when the businesses of large customers and their IPO suppliers are closely related in downstream markets, and when large customers have stronger certifying abilities. Finally, we find that large customers realize significant positive abnormal returns around their suppliers’ preliminary prospectus filing dates, suggesting that some of the benefits from product market relationships accrue to large customers.     

The Voluntary Restructuring of Large Firms In Response to Performance Decline

Much of the research on corporate restructuring has examined the causes and aftermath of extreme changes in corporate governance such as takeovers and bankruptcy. In contrast, we study restructurings initiated in response to product market pressures by “normal” corporate governance mechanisms. Such “voluntary” restructurings, motivated by the discipline of the product market and internal corporate controls, will play a relatively more important role in the 1990s due to a weakening in the discipline of the takeover market. Our data suggest that the firms retrenched quickly and, on average, increased their focus. There is no evidence of abnormally high levels of forced turnover in top managers. There is, however, a significant and rapid cut of 5% in the labor force. Further, the cost of goods sold to sales and labor costs to sales ratios both decline rapidly, more than 5% in the first two years after the negative earnings. The firms cut research and development, increased investment, and also reduced their debt/asset level by over 8% in the first year after the negative earnings. We also document the reasons management and analysis reported for the negative earnings. Overwhelmingly the firms blame bad economic conditions and, to a lesser extent, foreign competition.     

我国商业银行的高盈利与严监管平衡之路——2010年五家大型商业银行年报简评

截至2011年3月底,工、农、中、建、交五大行年报悉数发布,实现净利润达到5388亿元,较上年增长31%,不良贷款余额和不良贷款率均实现双降,资产质量普遍提高。如此良好的业绩,却并未引起资本市场的青睐,目前银行业在资本市场的估值普遍偏低,五大行市赢率为8～9倍,市净率仅为1.4～1.9倍。这     

Momentum,Reversal, and Uninformed Traders in Laboratory Markets

We report the results of three experiments based on the model of Hong and Stein (1999) . Consistent with the model, the results show that when informed traders do not observe prices, uninformed traders generate long‐term price reversals by engaging in momentum trade. However, when informed traders also observe prices, uninformed traders generate reversals by engaging in contrarian trading. The results suggest that a dominated information set is sufficient to account for the contrarian behavior observed among individual investors, and that uninformed traders may be responsible for long‐term price reversals but play little role in driving short‐term momentum.     

The Use of Interest Rate Derivatives by End-users: The Case of Large Community Banks

This paper investigates the use of interest-rate derivatives by U.S. commercial banks with total assets between $100 million and $1 billion. These banks are interesting, because they allow us to focus on the end-users of interest-rate derivatives rather than dealers. Over our four-year test period, 1990–1993, only 10% of these large community banks, on average about 250 banks per year, used any interest-rate derivatives. We find evidence that the use of interest-rate derivatives is positively related to exposure to interest-rate risk as measured by the absolute value of the 12-month maturity gap. In addition, a community bank's decision to participate in interest-rate contracts is positively related to size. Nevertheless, we find no positive relationship between size and the extent of participation in the derivatives market. Finally, our evidence suggests that banks that participate more heavily in interest-rate swaps have stronger capital positions, an indicator of market or regulatory discipline or both.     

CPI与PPI倒挂:现状、原因、影响及对策

理论上,PPI作为CPI的先行指标,会对CPI产生传导作用,当前PPI的走势会决定后市CPI的大致方向,但从2008年5月份开始我国的CPI和PPI走势却出现了明显的倒挂现象,这一违反市场经济一般规律的"反常"现象值得关注.本文深入分析了我国CPI和PPI倒挂的现状、原因,以及这种反常现象潜在的经济影响,并在此基础上提出了破解我国CPI和PPI倒挂困局的对策建议.     

The Role of Multiple Large Shareholders in the Choice of Debt Source

This paper examines the effect of multiple large shareholders (MLS) on debt choice. Using a sample of 654 French‐listed firms over the period 1998‐2013, we find that reliance on bank debt increases with the presence and voting power of MLS. This result is robust to endogeneity concerns and to several sensitivity tests. Moreover, we find that the effect of MLS on debt choice is more pronounced when agency problems between controlling and minority shareholders are more severe. Taken together, our results suggest that MLS reduce the controlling owner's incentive to avoid bank monitoring, leading to greater reliance on bank debt.     

Reversal and momentum patterns in weekly stock returns: European evidence

We analyze short‐term reversal and medium‐term momentum patterns in weekly stock returns in Europe. Focusing on raw and stock‐specific returns, our empirical results show for both return specifications (a) a negative relation between weekly past returns and future returns in the short run and (b) a positive relation in the medium run. However, returns from reversal and momentum strategies based on stock‐specific returns are less volatile. In further analyses, we find short‐term reversal and medium‐term momentum patterns to be connected to stock characteristics. Looking at the potential causes of these effects, our results do not support the idea that short‐term reversal in weekly stock returns is due to an over‐ or underreaction to firm‐specific news nor that it is mainly driven by illiquidity. Medium‐term momentum in weekly stock returns, on the other hand, can be connected to behavioral biases. Our concluding tests confirm that our findings are robust among industries, in subperiods, for the January effect and in varying market states. Finally, while medium‐term momentum strategies remain profitable after accounting for transaction costs, short‐term reversal strategies can be mainly explained by transaction costs due to their high turnover.