Empirical Estimates of Beta When Investors Face Estimation Risk

We examine empirical implications of models of differential information that formalize the following intuition: securities for which there is relatively little information are perceived as relatively more risky because of the greater uncertainty surrounding the exact parameters of their return distributions. The implication that beta risk for low information firms should decline as information increases is confirmed with several data sets. We find such a decline over the first several periods subsequent to initial public offerings and initial listings. There is also an abrupt risk decline at the first annual earnings announcement.     

中国“鬼镇”如何影响美国经济

正在房价高企的中国却出现了大量的闲置房,这些闲置房不但影响了中国经济,对世界经济也产生了不可估量的影响。你可以说这场危机起源于食品短缺。水果及谷物的高需求与供应短缺的矛盾使全球的食品价格创历史高位。在食品支出占支出总额40%的中东地区,食品价格上涨已经引发了政治动荡。动荡扩散至利比亚,催生原油危机导致国际油价大涨。印度、巴西正陷高油价、高铜价及商品通胀的烦恼中,债务危机阻碍欧洲经济增长,地震延缓了日本经济,美国经济要复苏还需打破更多壁垒。     

Trader Leverage and Liquidity

Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to identify a causal relationship between traders’ ability to borrow and a stock's market liquidity. To quantify the impact of trader leverage, we employ a regression discontinuity design that exploits threshold rules that determine a stock's margin trading eligibility. We find that liquidity is higher when stocks become eligible for margin trading and that this liquidity enhancement is driven by margin traders’ contrarian strategies. Consistent with downward liquidity spirals due to deleveraging, we also find that this effect reverses during crises.     

Merger Negotiations with Stock Market Feedback

Do preoffer target stock price runups increase bidder takeover costs? We present model‐based tests of this issue assuming runups are caused by signals that inform investors about potential takeover synergies. Rational deal anticipation implies a relation between target runups and markups (offer value minus runup) that is greater than minus one‐for‐one and inherently nonlinear. If merger negotiations force bidders to raise the offer with the runup—a costly feedback loop where bidders pay twice for anticipated target synergies—markups become strictly increasing in runups. Large‐sample tests support rational deal anticipation in runups while rejecting the costly feedback loop.     

THE PROPERTY VALUE PREMIUM OF A PLACE OF WORSHIP

Using a unique data set of residential housing values, we improve on previous hedonic pricing and event studies literature to estimate the amenity effects of a new religious structure on local property values. We improve on previous research by extending our analysis with a pre‐ and post‐treatment model. Using a pre‐ and post‐treatment model, we do not find that the religious structure that we examined influenced the value of surrounding properties in the period after its completion. The results suggest that previous research using only post‐completion data may mischaracterize the amenity effects of religious structures. (JEL R3)