Management science : a journal of the institute for operations research and the management sciences, Vol. 58 N° 2. Management science: a Journal of the institute for operations research and the management sciences - Février 2012
| Titre : | Management science : a journal of the institute for operations research and the management sciences, Vol. 58 N° 2. Management science: a Journal of the institute for operations research and the management sciences - Février 2012 |
| Type de document : | Bulletin |
| Paru le : | 11/06/2012 |
Dépouillements
Article : texte imprimé
Renée B. Adams, Auteur ;
Patricia Funk, Auteur
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A large literature documents that women are different from men in their choices and preferences, but little is known about gender differences in the boardroom. If women must be like men to break the glass ceiling, we might expect gender differen[...]
Article : texte imprimé
Bang Dang Nguyen, Auteur
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This paper investigates the impact of social ties on the effectiveness of boards of directors. When the chief executive officer (CEO) and a number of directors belong to the same social networks, the CEO is less likely to be dismissed for poor p[...]
Article : texte imprimé
Phelim Boyle, Auteur ;
Lorenzo Garlappi, Auteur ;
Raman Uppal, Auteur
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We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea[...]
Article : texte imprimé
Bruno Solnik, Auteur ;
Luo Zuo, Auteur
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We develop a global equilibrium asset pricing model assuming that investors suffer from foreign aversion, a preference for home assets based on familiarity. Using a utility formulation inspired by regret theory, we derive closed-form solutions. [...]
Article : texte imprimé
Paul Hribar, Auteur ;
John McInnis, Auteur
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We correlate analysts' forecast errors with temporal variation in investor sentiment. We find that when sentiment is high, analysts' forecasts of one-year-ahead earnings and long-term earnings growth are relatively more optimistic for “uncertain[...]
Article : texte imprimé
Nicholas Seybert, Auteur ;
Holly I. Yang, Auteur
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This paper shows that an important link between investor sentiment and firm overvaluation is optimistic earnings expectations, and that management earnings guidance helps resolve sentiment-driven overvaluation. Using previously identified firm c[...]
Article : texte imprimé
David Hirshleifer, Auteur ;
Kewei Hou, Auteur ;
Siew Hong Teoh, Auteur
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We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML fact[...]
Article : texte imprimé
Thomas Gilbert, Auteur ;
Shimon Kogan, Auteur ;
Lars Lochstoer, Auteur
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We show that U.S. stock and Treasury futures prices respond sharply to recurring stale information releases. In particular, we identify a unique macroeconomic series—the U.S. Leading Economic Index® (LEI)—which is released monthly and constructe[...]
Article : texte imprimé
Joseph Engelberg, Auteur ;
Caroline Sasseville, Auteur ;
Jared Williams, Auteur
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We use the popular television show Mad Money, hosted by Jim Cramer, to test theories of attention and limits to arbitrage. Stock recommendations on Mad Money constitute attention shocks to a large audience of individual traders. We find that sto[...]
Article : texte imprimé
Mariassunta Giannetti, Auteur ;
Yishay Yafeh, Auteur
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We investigate whether cultural differences between professional decision makers affect financial contracts in a large data set of international syndicated bank loans. We find that more culturally distant lead banks offer borrowers smaller loans[...]
Article : texte imprimé
Matthias Sutter, Auteur ;
Jürgen Huber, Auteur ;
Michael Kirchler, Auteur
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A symmetric distribution of information, although omnipresent in real markets, is rarely considered in experimental economics. We study whether information about imminent future dividends can abate bubbles in experimental asset markets. We find [...]
Article : texte imprimé
Eric Overby, Auteur ;
Jonathan Clarke, Auteur
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Despite the central role of arbitrage in finance and economic theory, there is limited evidence of the factors that create and eliminate arbitrage opportunities, how often arbitrage occurs, and how profitable it is. We address these gaps via a t[...]
Article : texte imprimé
Utpal Bhattacharya, Auteur ;
Craig W. Holden, Auteur ;
Stacey Jacobsen, Auteur
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This paper provides evidence that stock traders focus on round numbers as cognitive reference points for value. Using a random sample of more than 100 million stock transactions, we find excess buying (selling) by liquidity demanders at all pric[...]
Article : texte imprimé
T. Clifton Green, Auteur ;
Byoung-Hyoun Hwang, Auteur
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We find that initial public offerings (IPOs) with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger during periods of high investor sentiment and is related to differences in skewness acro[...]
Article : texte imprimé
Vicky Henderson, Auteur
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There is a well-known intuition linking prospect theory with the disposition effect, the tendency of investors to sell assets that have risen in value rather than fallen. Recently, several authors have studied rigorous models in an attempt to fo[...]
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