The affect heuristic and stock ownership: A theoretical perspective

We consider asset prices and informational efficiency in a setting where owning stock confers direct utility due to an affect heuristic. Specifically, holding equity in brand name companies or those indulging in “socially desirable” activities (e.g., environmental consciousness) confers positive consumption benefits, whereas investing in “sin stocks” yields the reverse. In contrast to settings based on wealth considerations alone, expected stock prices deviate from expected fundamentals even when assets are in zero net supply. Stocks that yield high direct utility are, on average, more informationally efficient as they stimulate more entry into the market for these stocks and, consequently, more information collection. The analysis also accords with a value effect, high valuations of brand‐name stocks, abnormally positive returns on “sin stocks,” volume premia in the cross‐section of returns, proliferation of mutual funds and ETFs, and yields untested implications. If, as psychological literature suggests, agents derive greater utility from successful companies by “basking in reflected glory,” then asset prices react to public signals non‐linearly, leading to booms and busts, as well as crashes and recoveries.     

The curse of knowledge: having access to customer information can reduce monopoly profits

We show that a monopolist's profit is higher if he refrains from collecting coarse information on his customers, sticking to constant uniform pricing rather than recognizing customers' segments through their purchase history. In the Markov perfect equilibrium with coarse information collection, after each commitment period, a new introductory price is offered to attract new customers, creating a new market segment for price discrimination. Eventually, the whole market is covered. Shortening the commitment period results in lower profits. These results sharply differ from the ones obtained when the firm can uncover the exact willingness-to-pay of each previous customer.     

Investor attention,information acquisition,and value premium: A mispricing perspective

This paper investigates the impact of investor attention on the dynamics of the value premium. We find superior return differences to value-growth strategy conditioned as low degree of investor attention. In contrast, return differences to the value-growth strategy conditioned as high investor attention are indifferent from zero. We show that return differences to low degree of investor attention across value and growth firms are attributed to mispricing explanation using common risk factors, mispricing factors, sentiment analysis, multivariate analysis, and market expectation errors approach. The findings suggest that investor attention contributes to generating superior return differences to standard value-growth strategy. Our finding concludes that long-short investment strategy in value stocks and growth stocks conditioned as low investor attention generate superior value premium.     

Wealth effects and committed cost allocation: An agency theory perspective

In this article we examine the effects of committed costs (CC) on compensation and effort (production) decisions in a principal-agent (P-A) setting. In the case where moral hazard is present, the compensation and effort (production) decisions are independent of CC whenever P has constant absolute risk aversion. When P has decreasing absolute risk aversion, he demands as increased risk premium, therefore increases the spread of the compensation schedule, and induces A to increase effort (production) and vice versa. The optimal compensation scheme can be decomposed to conform to incentive schemes that are generally observed in practice. In particular, we decompose the optimal compensation scheme that depends on CC into two parts—a part that is based on cash flows and a part that is based on income (after allocating committed costs). In the case where effort is observable, CC does not effect the compensation scheme and effort decisions, when P has constant absolute risk aversion. In contrast to earlier studies that examine the owner-manager case, when P has decreasing absolute risk aversion, effort (production) could either increase or decrease. The presence of moral hazard affects the effort (production) decision differently than when risk-sharing considerations alone exist. The reduction in A's compensation induced by increased CC never exceeds the amount of CC.     

Algorithmic trading and block ownership initiation: An information perspective

This paper examines the impact of algorithmic trading (AT) on investors' incentives to initiate block ownership in U.S. public companies. We find that a one standard deviation change in AT activity reduces the block ownership initiation likelihood by 3.5%. Using the SEC's randomised tick size pilot experiment in 2016 as a negative shock to AT, we show that the effect of AT on block ownership initiation is causal. Further evidence supports the information-hindering explanation that AT discourages sophisticated investors from acquiring information, which results in a decrease in block ownership initiation. We find that the effect of AT is more pronounced among information-sensitive investors and that institutional investors reduce their information-gathering activities in AT-targeted stocks. Additional tests exploring information-based trading behaviour in the presence of AT provide strong evidence to support the explanation of information-hindering, and our results hold across a battery of robustness tests.     

Institutional ownership and credit spreads: An information asymmetry perspective

Recent literature has documented a link between institutional equity ownership (IO) and cost of debt capital, and interpreted it as a corporate governance effect. However, institutional equity investors may also affect cost of debt through their influence on information asymmetry condition of firms. To distinguish between the two effects, we break down institutional investors into different groups: transient institutional investors (TRA who are sensitive to information asymmetry but unlikely to participate in corporate governance, and the dedicated ones (DED) who act oppositely. Based on a most up-to-date and comprehensive bond data spanning the past 20 years, we find that credit spreads narrow (widen) with an increase in equity ownership by TRA (DED). The effects are most prominent among short-term bonds, bonds with lower ratings, higher leverage and higher volatilities. The results persist after controlling for potential endogeneity and other information asymmetry measures, and are unlikely due to an asset substitution effect. Overall, our findings provide strong support for the effect of information asymmetry on credit spread, and highlight the importance of distinguishing various types of institutional investors.     

On information release and the January effect: Accounting-information hypothesis

Since most firms select December fiscal year-ends, theJanuary effect is a fiscal year-end accounting effect, according to the accounting-information hypothesis. This hypothesis attributes the unusually large stock returns in January to higher risk, caused by uncertainty about the impending announcement of firm performance. The empirical evidence does not support the hypothesis. Small firms with non-December fiscal year-ends fail to display a fiscal year-end effect. Yet all small firms, regardless of their fiscal year-end month, exhibit large January returns.     

Quality of information disclosure,property rights,and bank loans: A bank heterogeneity perspective

Using the context of the financial reform and the development of the non-state sector in China in the past decade, we examine the roles that the quality of information disclosure and property rights play in the allocation of different types of bank credit. We find that foreign banks and policy banks exercise “financial discrimination,” and that local commercial banks, large state-owned commercial banks, national joint-stock banks, local city commercial banks, and rural commercial banks not only exercise financial discrimination but also provide significant “financial support” to non-state-owned enterprises by providing more lending opportunities and larger loans. However, when enterprises commit information disclosure violations, the local commercial banks, national joint-stock banks, local city commercial banks, and rural commercial banks reverse their credit decisions and begin to exercise financial discrimination against non-state-owned enterprises. At the same time, large state-owned commercial banks continue to provide financial support to non-state-owned enterprises. We also find that the quality of the information disclosed by enterprises has a moderating effect rather than an intermediary effect on the relationship between property rights and bank loans. Overall, the results of this paper shine new light on the market-oriented reform of the banking industry, and provide new empirical evidence for the presence of financial discrimination in the supply of bank credit. Our findings also have practical implications for solving the financing difficulties of non-state-owned enterprises.     

The role of strategic interactions in risk-taking behavior: A study from asset growth perspective

This study uses panel data on Vietnamese commercial banks from 2008 to 2018 in order to investigate the role of strategic interactions in determining bank risk-taking behavior by considering bank asset growth. The results suggest that aggressive competition is less favorable for banks striving for stability and that a high value of competitive strategy measure (as a proxy for strategic interactions) encourages risk-taking incentives. We also find that the distributional effects of strategic interaction on bank risk-taking because of asset growth reveal that the uncertainty in strategic-interaction-driven profits diminishes in banks with higher growth. This finding is consistent with the idea that when competition becomes more aggressive, bank restructuring should focus on increasing total assets by merging and acquiring small- and medium-sized banks to stabilize the banking sector. Furthermore, the results demonstrate that banks with low leverage or under regulatory pressure engage in more risk-taking. Therefore, policymakers may not implement a tighter capital requirement that contributes to a heightened level of risk. The results are robust to alternative measures of risk-taking and monetary policy stance as well as different econometric specifications.     

Capturing how individuals perceive genetic risk information: a phenomenological perspective

The prevailing scientific approach to genetic risk information centres around communication of risk in terms of numerical probabilities. However, it is well known that individuals have difficulties in understanding and making sense of this information in their own lives. There is, accordingly, a need to investigate whether any methodologies in psychological research may shed light on how individuals perceive genetic risk information within their specific contexts of family history, personal relationships, lifestyles and future plans. To explore whether hermeneutic phenomenology and methodology may offer a deeper understanding of an individual’s perception of having a hereditary predisposition, we conducted a literature search. We found that Interpretative Phenomenological Analysis may be a fruitful approach to an individual’s lived experiential world. The studies analysed showed how individuals interpret information about genetic risk in the light of their own beliefs about the multiple causes of illness, patterns of heredity and observable risk factors in their families. People’s understanding of their experience is derived from an intricate interconnectedness with others that arises in the context of a world shaped in equal measure by language and culture, on the one hand, and bodies and objects on the other.     

Financial crises,price discovery,and information transmission: a high-frequency perspective

This paper examines the price discovery processes before and during the 2007–2009 subprime and financial crisis, as well as the subsequent European sovereign crisis, for American and German stock and bond markets, as well as for U.S. Dollar/Euro FX. Based on 5-s intervals, we analyze how asset prices interact conditional on macroeconomic announcements from the USA and Germany. Our results show significant co-movement and spillover effects in returns and volatility, reflecting systematic information transmission mechanisms among asset markets. We document strong state dependence with a substantial increase in inter-asset spillovers and feedback effects during times of crisis.     

治理结构与市场结构：一个金融创新的制度视角

金融创新是商业银行通过实现规模经济和范围经济,获得超额利润的必由之路,但是只有在健全的法人治理结构(总行与分支机构间信息对称、监督有效)下,商业银行才有创新的动力;即使商业银行存在创新的内部激励,在当前商业银行寡头市场条件下的“资金上存”机制会削弱其创新积极性;商业银行金融创新必须立足于改革内外激励机制,实现可持续发展。     

Electricity markets and oligopolistic behaviors: The impact of a multimarket structure

The article analyses the development of retail competition in electricity markets, compares market structures and performance in Great Britain and Norway, and concludes that there is no satisfactory outcome in a multimarket setting like Great Britain. We study differences in retail profits between Norway and Great Britain, both considered as benchmarks for competitive markets. We highlight the price parallelism of British suppliers whatever the trend of wholesale prices. These behaviors contrast with the small and stable retail mark-ups in each group of suppliers in Norway. The main explanation comes from the combination of vertical integration and multimarket setting, which allows parallel pricing behaviors in the British retail market. We also evaluate the impact of other factors that influence the dynamic of retail competition: national fuel mixes and institutional design of retail and wholesale markets. However, we demonstrate that a multimarket setting, which is a major feature of most retail markets, remains the main determinant of oligopolistic profit. Remedies must be implemented to correct these market imperfections.     

A comparative analysis of information search and evaluation behavior of professional and non-professional financial analysts

This study assesses the information search and evaluation behavior of professional and non-professional financial analysts. These groups were analyzed because they are demonstrably interested in financial analysis. The study compares problem-solving behavior during the analysis of an initial public offering of an equity security, using a process tracing technique. General results of the study suggest that professionals tend to treat data in different ways to non-professionals. Principal differences include strategy selection, weights attached to data and final conclusions. However, professionals also seem to use different data than that generally proposed in fundamental analysis texts.     

资产价格与货币政策：一个理论综述

该文对近几年国内外学术界对资产价格如何影响实体经济,货币政策是否应该考虑资产价格,如何将资产价格纳入到货币政策指标体系中等问题的研究进行了理论综述。文章认为,资产价格变动会通过财富效应,托宾Q值效应,金融加速器效应和预期效应等影响实体经济活动,但学者们对货币政策是否应该考虑资产价格以及如何将资产价格纳入到货币政策指标体系中始终存在不同看法。     

Dual class IPOs: A theoretical analysis

We consider an incumbent who wishes to sell equity to outsiders at an IPO to implement his firm’s project. He may be talented (lower cost of effort, comparative advantage in project-implementation) or untalented. The project may have high (intrinsically more valuable, but showing less signs of success in the near-term) or low near-term uncertainty. Under a single class share structure, the incumbent has a greater chance of losing control to potential rivals if he undertakes the project with high near-term uncertainty, since outsiders may vote for the rival if they believe the project is not progressing well. A dual class share structure allows the incumbent to have enough votes to prevail against any rival, but may be misused by untalented incumbents to dissipate value. Our results help to explain firms’ choices between dual class and single class IPOs and the post-IPO operating performance of dual class versus single class firms.     

The timing of prepayment: A theoretical analysis

This article develops the analytical methods necessary to determine the prepayment patterns of a mortgage contract. The most obvious measure of how many years a mortgage is likely to last is the expected time to termination. It is this measure that we most fully explore. However, since the method employed is able to characterize the probability of prepayment in any given time period, the means is provided to determine any measure of the time to termination.