Dépouillements

Beyond the glass ceiling / Renée B. Adams in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 219-235 Titre : Beyond the glass ceiling : Does gender matter? Type de document : texte imprimé Auteurs : Renée B. Adams, Auteur ; Patricia Funk, Auteur Année de publication : 2012 Article en page(s) : pp. 219-235 Note générale : Management Langues : Anglais (eng) Mots-clés : Directors  Gender  Boards  Values  Risk Résumé : 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 differences to disappear among directors. Using a large survey of directors, we show that female and male directors differ systematically in their core values and risk attitudes, but in ways that differ from gender differences in the general population. These results are robust to controlling for differences in observable characteristics. Consistent with findings for the population, female directors are more benevolent and universally concerned but less power oriented than male directors. However, in contrast to findings for the population, they are less tradition and security oriented than their male counterparts. They are also more risk loving than male directors. Thus, having a woman on the board need not lead to more risk-averse decision making. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/219.abstract [article] Beyond the glass ceiling : Does gender matter? [texte imprimé] / Renée B. Adams, Auteur ; Patricia Funk, Auteur . - 2012 . - pp. 219-235. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 219-235 Mots-clés : Directors  Gender  Boards  Values  Risk Résumé : 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 differences to disappear among directors. Using a large survey of directors, we show that female and male directors differ systematically in their core values and risk attitudes, but in ways that differ from gender differences in the general population. These results are robust to controlling for differences in observable characteristics. Consistent with findings for the population, female directors are more benevolent and universally concerned but less power oriented than male directors. However, in contrast to findings for the population, they are less tradition and security oriented than their male counterparts. They are also more risk loving than male directors. Thus, having a woman on the board need not lead to more risk-averse decision making. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/219.abstract

Does the rolodex matter? / Bang Dang Nguyen in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 236-252 Titre : Does the rolodex matter? : Corporate elite's small world and the effectiveness of boards of directors Type de document : texte imprimé Auteurs : Bang Dang Nguyen, Auteur Année de publication : 2012 Article en page(s) : pp. 236-252 Note générale : Management Langues : Anglais (eng) Mots-clés : Social  networks  CEO  turnover  Board  of  directors  Firm  performance  Corporate  governance Résumé : 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 performance. The results are robust to different measures of performance and networks, and consistent after controlling for CEO ability and connected boards' superior information. Although being ousted is costly for all CEOs—who must then devote time to finding new employment and only succeed in 62% of cases—socially connected CEOs are more likely to find new and better employment after a forced departure. Evidence from this paper suggests that close social ties between board members and CEOs impact the workings of the board of directors. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/236.abstract [article] Does the rolodex matter? : Corporate elite's small world and the effectiveness of boards of directors [texte imprimé] / Bang Dang Nguyen, Auteur . - 2012 . - pp. 236-252. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 236-252 Mots-clés : Social  networks  CEO  turnover  Board  of  directors  Firm  performance  Corporate  governance Résumé : 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 performance. The results are robust to different measures of performance and networks, and consistent after controlling for CEO ability and connected boards' superior information. Although being ousted is costly for all CEOs—who must then devote time to finding new employment and only succeed in 62% of cases—socially connected CEOs are more likely to find new and better employment after a forced departure. Evidence from this paper suggests that close social ties between board members and CEOs impact the workings of the board of directors. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/236.abstract

Keynes meets markowitz / Phelim Boyle in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 253-272 Titre : Keynes meets markowitz : The trade-off between familiarity and diversification Type de document : texte imprimé Auteurs : Phelim Boyle, Auteur ; Lorenzo Garlappi, Auteur ; Raman Uppal, Auteur Année de publication : 2012 Article en page(s) : pp. 253-272 Note générale : Management Langues : Anglais (eng) Mots-clés : Investment  Portfolio  choice  Ambiguity  Robust  control  Underdiversification Résumé : 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 of an investor's “familiarity” toward assets. The model shows that for any given level of expected returns, the optimal portfolio depends on two quantities: relative ambiguity across assets and the standard deviation of the expected return estimate for each asset. If both quantities are low, then the optimal portfolio consists of a mix of familiar and unfamiliar assets; moreover, an increase in correlation between assets causes an investor to increase concentration in familiar assets (flight to familiarity). Alternatively, if both quantities are high, then the optimal portfolio contains only the familiar asset(s), as Keynes would have advocated. In the extreme case in which both quantities are very high, no risky asset is held (nonparticipation). DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/253.abstract [article] Keynes meets markowitz : The trade-off between familiarity and diversification [texte imprimé] / Phelim Boyle, Auteur ; Lorenzo Garlappi, Auteur ; Raman Uppal, Auteur . - 2012 . - pp. 253-272. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 253-272 Mots-clés : Investment  Portfolio  choice  Ambiguity  Robust  control  Underdiversification Résumé : 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 of an investor's “familiarity” toward assets. The model shows that for any given level of expected returns, the optimal portfolio depends on two quantities: relative ambiguity across assets and the standard deviation of the expected return estimate for each asset. If both quantities are low, then the optimal portfolio consists of a mix of familiar and unfamiliar assets; moreover, an increase in correlation between assets causes an investor to increase concentration in familiar assets (flight to familiarity). Alternatively, if both quantities are high, then the optimal portfolio contains only the familiar asset(s), as Keynes would have advocated. In the extreme case in which both quantities are very high, no risky asset is held (nonparticipation). DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/253.abstract

A global equilibrium asset pricing model with home preference / Bruno Solnik in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 273-292 Titre : A global equilibrium asset pricing model with home preference Type de document : texte imprimé Auteurs : Bruno Solnik, Auteur ; Luo Zuo, Auteur Année de publication : 2012 Article en page(s) : pp. 273-292 Note générale : Management Langues : Anglais (eng) Mots-clés : International  asset  pricing  Home  bias  Familiarity  Regret Résumé : 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. When the degree of foreign aversion is high in a given country, investors place a high valuation on domestic equity, which results in a low expected return. Thus, the model generates the simple prediction that a country's degree of home bias and the expected return of its domestic assets should be inversely related. Our predicted relation between the degree of home bias and a country's expected return has the opposite sign predicted by models that assume some form of market segmentation. Using International Monetary Fund portfolio data, we find that expected returns are negatively related to home bias. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/273.abstract [article] A global equilibrium asset pricing model with home preference [texte imprimé] / Bruno Solnik, Auteur ; Luo Zuo, Auteur . - 2012 . - pp. 273-292. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 273-292 Mots-clés : International  asset  pricing  Home  bias  Familiarity  Regret Résumé : 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. When the degree of foreign aversion is high in a given country, investors place a high valuation on domestic equity, which results in a low expected return. Thus, the model generates the simple prediction that a country's degree of home bias and the expected return of its domestic assets should be inversely related. Our predicted relation between the degree of home bias and a country's expected return has the opposite sign predicted by models that assume some form of market segmentation. Using International Monetary Fund portfolio data, we find that expected returns are negatively related to home bias. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/273.abstract

Investor sentiment and analysts' earnings forecast errors / Paul Hribar in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 293-307 Titre : Investor sentiment and analysts' earnings forecast errors Type de document : texte imprimé Auteurs : Paul Hribar, Auteur ; John McInnis, Auteur Année de publication : 2012 Article en page(s) : pp. 293-307 Note générale : Management Langues : Anglais (eng) Mots-clés : Accounting  Finance  Asset  pricing Résumé : 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” or “difficult-to-value” firms. Adding these forecast errors to a regression of stock returns on sentiment absorbs a sizable fraction of the explanatory power of sentiment for the cross section of future returns. This finding provides direct support for the notion that investor sentiment affects the earnings expectations of hard-to-value firms. Additional tests suggest that this bias in expectations is unlikely to be strategic in nature. Our results provide new insight into the mechanism through which investor sentiment affects returns. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/293.abstract [article] Investor sentiment and analysts' earnings forecast errors [texte imprimé] / Paul Hribar, Auteur ; John McInnis, Auteur . - 2012 . - pp. 293-307. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 293-307 Mots-clés : Accounting  Finance  Asset  pricing Résumé : 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” or “difficult-to-value” firms. Adding these forecast errors to a regression of stock returns on sentiment absorbs a sizable fraction of the explanatory power of sentiment for the cross section of future returns. This finding provides direct support for the notion that investor sentiment affects the earnings expectations of hard-to-value firms. Additional tests suggest that this bias in expectations is unlikely to be strategic in nature. Our results provide new insight into the mechanism through which investor sentiment affects returns. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/293.abstract

The party's over / Nicholas Seybert in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 308-319 Titre : The party's over : The role of earnings guidance in resolving sentiment-driven overvaluation Type de document : texte imprimé Auteurs : Nicholas Seybert, Auteur ; Holly I. Yang, Auteur Année de publication : 2012 Article en page(s) : pp. 308-319 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance  Asset  pricing  Management  Earnings  guidance  Investor  sentiment  Market  efficiency Résumé : 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 characteristics, we find that most of the negative returns to uncertain firms in months following high-sentiment periods fall within the three-day window around the issuance of management earnings guidance. Comparisons of guidance months to nonguidance months show that guidance issuance affects the magnitude and not just the daily distribution of negative returns. There is also some evidence of negative returns around earnings announcements for firms that previously issued guidance, suggesting that guidance does not entirely correct optimistic earnings expectations. To provide additional insight into the strength of the guidance effect, we show that the market reacts more strongly to surprises, particularly negative surprises, following high-sentiment periods. Finally, firms with higher transient institutional ownership are less likely to guide, and their guidance is less likely to contain bad news following high-sentiment periods, indicating that managers with a short-term focus are hesitant to correct optimistic market expectations. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/308.abstract [article] The party's over : The role of earnings guidance in resolving sentiment-driven overvaluation [texte imprimé] / Nicholas Seybert, Auteur ; Holly I. Yang, Auteur . - 2012 . - pp. 308-319. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 308-319 Mots-clés : Finance  Asset  pricing  Management  Earnings  guidance  Investor  sentiment  Market  efficiency Résumé : 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 characteristics, we find that most of the negative returns to uncertain firms in months following high-sentiment periods fall within the three-day window around the issuance of management earnings guidance. Comparisons of guidance months to nonguidance months show that guidance issuance affects the magnitude and not just the daily distribution of negative returns. There is also some evidence of negative returns around earnings announcements for firms that previously issued guidance, suggesting that guidance does not entirely correct optimistic earnings expectations. To provide additional insight into the strength of the guidance effect, we show that the market reacts more strongly to surprises, particularly negative surprises, following high-sentiment periods. Finally, firms with higher transient institutional ownership are less likely to guide, and their guidance is less likely to contain bad news following high-sentiment periods, indicating that managers with a short-term focus are hesitant to correct optimistic market expectations. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/308.abstract

The accrual anomaly / David Hirshleifer in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 320-335 Titre : The accrual anomaly : Risk or mispricing? Type de document : texte imprimé Auteurs : David Hirshleifer, Auteur ; Kewei Hou, Auteur ; Siew Hong Teoh, Auteur Année de publication : 2012 Article en page(s) : pp. 320-335 Note générale : Management Langues : Anglais (eng) Mots-clés : Capital  markets  Accruals  Market  efficiency  Behavioral  finance  Limited  attention Résumé : 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 factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings on this accrual factor-mimicking portfolio. However, our tests indicate that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These findings suggest that investors misvalue the accrual characteristic and cast doubt on the rational risk explanation. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/320.abstract [article] The accrual anomaly : Risk or mispricing? [texte imprimé] / David Hirshleifer, Auteur ; Kewei Hou, Auteur ; Siew Hong Teoh, Auteur . - 2012 . - pp. 320-335. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 320-335 Mots-clés : Capital  markets  Accruals  Market  efficiency  Behavioral  finance  Limited  attention Résumé : 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 factors of Fama and French. According to rational frictionless asset pricing models, the ability of accruals to predict returns should come from the loadings on this accrual factor-mimicking portfolio. However, our tests indicate that it is the accrual characteristic rather than the accrual factor loading that predicts returns. These findings suggest that investors misvalue the accrual characteristic and cast doubt on the rational risk explanation. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/320.abstract

Investor inattention and the market impact of summary statistics / Thomas Gilbert in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 336-350 Titre : Investor inattention and the market impact of summary statistics Type de document : texte imprimé Auteurs : Thomas Gilbert, Auteur ; Shimon Kogan, Auteur ; Lars Lochstoer, Auteur Année de publication : 2012 Article en page(s) : pp. 336-350 Note générale : Management Langues : Anglais (eng) Mots-clés : Capital  markets  Stale  macroeconomic  information  Investor  inattention Résumé : 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 constructed as a summary statistic of previously released inputs. We show that a front-running strategy that trades S&P 500 futures in the direction of the announcement a day before its release and then trades in the opposite direction of the announcement following its release generates an average annual return of close to 8%. These patterns are more pronounced for high beta stocks, for stocks that are more difficult to arbitrage, and during times when investors' sensitivity to firm-specific stale information is high. Treasury futures exhibit similar, albeit less pronounced, price patterns. Other measures of information arrival, such as price volatility and volume, spike following the release. These empirical findings suggest that some investors are inattentive to the stale nature of the information included in the LEI releases, instead interpreting it as new information, and thereby causing temporary yet significant mispricing. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/336.abstract [article] Investor inattention and the market impact of summary statistics [texte imprimé] / Thomas Gilbert, Auteur ; Shimon Kogan, Auteur ; Lars Lochstoer, Auteur . - 2012 . - pp. 336-350. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 336-350 Mots-clés : Capital  markets  Stale  macroeconomic  information  Investor  inattention Résumé : 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 constructed as a summary statistic of previously released inputs. We show that a front-running strategy that trades S&P 500 futures in the direction of the announcement a day before its release and then trades in the opposite direction of the announcement following its release generates an average annual return of close to 8%. These patterns are more pronounced for high beta stocks, for stocks that are more difficult to arbitrage, and during times when investors' sensitivity to firm-specific stale information is high. Treasury futures exhibit similar, albeit less pronounced, price patterns. Other measures of information arrival, such as price volatility and volume, spike following the release. These empirical findings suggest that some investors are inattentive to the stale nature of the information included in the LEI releases, instead interpreting it as new information, and thereby causing temporary yet significant mispricing. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/336.abstract

Market madness? / Joseph Engelberg in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 351-364 Titre : Market madness? : The case of mad money Type de document : texte imprimé Auteurs : Joseph Engelberg, Auteur ; Caroline Sasseville, Auteur ; Jared Williams, Auteur Année de publication : 2012 Article en page(s) : pp. 351-364 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance  Asset  pricing  Investment  criteria  Media  Attention Résumé : 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 stock recommendations lead to large overnight returns that subsequently reverse over the next few months. The spike-reversal pattern is strongest among small, illiquid stocks that are hard to arbitrage. Using daily Nielsen ratings as a direct measure of attention, we find that the overnight return is strongest when high-income viewership is high. We also find weak price effects among sell recommendations. Taken together, the evidence supports the retail attention hypothesis of Barber and Odean (Barber, B., T. Odean. 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financial Stud. 21(2) 785–818) and illustrates the potential role of media in generating mispricing. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/351.abstract [article] Market madness? : The case of mad money [texte imprimé] / Joseph Engelberg, Auteur ; Caroline Sasseville, Auteur ; Jared Williams, Auteur . - 2012 . - pp. 351-364. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 351-364 Mots-clés : Finance  Asset  pricing  Investment  criteria  Media  Attention Résumé : 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 stock recommendations lead to large overnight returns that subsequently reverse over the next few months. The spike-reversal pattern is strongest among small, illiquid stocks that are hard to arbitrage. Using daily Nielsen ratings as a direct measure of attention, we find that the overnight return is strongest when high-income viewership is high. We also find weak price effects among sell recommendations. Taken together, the evidence supports the retail attention hypothesis of Barber and Odean (Barber, B., T. Odean. 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Rev. Financial Stud. 21(2) 785–818) and illustrates the potential role of media in generating mispricing. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/351.abstract

Do cultural differences between contracting parties matter? / Mariassunta Giannetti in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 365-383 Titre : Do cultural differences between contracting parties matter? : Evidence from syndicated bank loans Type de document : texte imprimé Auteurs : Mariassunta Giannetti, Auteur ; Yishay Yafeh, Auteur Année de publication : 2012 Article en page(s) : pp. 365-383 Note générale : Management Langues : Anglais (eng) Mots-clés : Financial  contracts  Risk  sharing  Behavioral  bias  Culture Résumé : 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 at a higher interest rate and are more likely to require third-party guarantees. These effects do not disappear following repeated interaction between borrower and lender and are economically sizable: A one-standard-deviation increase in cultural distance, approximately the distance between Canada and the United States or between Japan and South Korea, is associated with a 6.5 basis point higher loan spread; the loan spread increases by about 23 basis points if the bank-firm match involves culturally more distant parties, for example, from Japan and the United States. We also find that cultural differences not only affect the relation between borrower and lender, but also hamper risk sharing between participant banks and culturally distant lead banks. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/365.abstract [article] Do cultural differences between contracting parties matter? : Evidence from syndicated bank loans [texte imprimé] / Mariassunta Giannetti, Auteur ; Yishay Yafeh, Auteur . - 2012 . - pp. 365-383. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 365-383 Mots-clés : Financial  contracts  Risk  sharing  Behavioral  bias  Culture Résumé : 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 at a higher interest rate and are more likely to require third-party guarantees. These effects do not disappear following repeated interaction between borrower and lender and are economically sizable: A one-standard-deviation increase in cultural distance, approximately the distance between Canada and the United States or between Japan and South Korea, is associated with a 6.5 basis point higher loan spread; the loan spread increases by about 23 basis points if the bank-firm match involves culturally more distant parties, for example, from Japan and the United States. We also find that cultural differences not only affect the relation between borrower and lender, but also hamper risk sharing between participant banks and culturally distant lead banks. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/365.abstract

Bubbles and information / Matthias Sutter in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 384-393 Titre : Bubbles and information : An experiment Type de document : texte imprimé Auteurs : Matthias Sutter, Auteur ; Jürgen Huber, Auteur ; Michael Kirchler, Auteur Année de publication : 2012 Article en page(s) : pp. 384-393 Note générale : Management Langues : Anglais (eng) Mots-clés : Finance  Experiment  Bubbles Résumé : 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 that markets with asymmetrically informed traders have significantly smaller bubbles than markets with symmetrically informed or uninformed traders. Hence, fundamental values are better reflected in market prices—implying higher market efficiency—when some traders know more than others about future dividends. This suggests that bubbles are abated when traders know that a subset of them have an edge (in information) over others. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/384.abstract [article] Bubbles and information : An experiment [texte imprimé] / Matthias Sutter, Auteur ; Jürgen Huber, Auteur ; Michael Kirchler, Auteur . - 2012 . - pp. 384-393. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 384-393 Mots-clés : Finance  Experiment  Bubbles Résumé : 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 that markets with asymmetrically informed traders have significantly smaller bubbles than markets with symmetrically informed or uninformed traders. Hence, fundamental values are better reflected in market prices—implying higher market efficiency—when some traders know more than others about future dividends. This suggests that bubbles are abated when traders know that a subset of them have an edge (in information) over others. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/384.abstract

A transaction-level analysis of spatial arbitrage / Eric Overby in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 394-412 Titre : A transaction-level analysis of spatial arbitrage : The role of habit, attention, and electronic trading Type de document : texte imprimé Auteurs : Eric Overby, Auteur ; Jonathan Clarke, Auteur Année de publication : 2012 Article en page(s) : pp. 394-412 Note générale : Management Langues : Anglais (eng) Mots-clés : Spatial  arbitrage  Seller  distribution  Decision  making  Habit  Attention  allocation  Market  efficiency  Electronic  trading  Information  technology  Automotive Résumé : 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 transaction-level analysis of spatial arbitrage in the wholesale automotive market. We investigate why arbitrage opportunities are created by analyzing how sellers choose where to sell vehicles. We find that the attention sellers pay to the distribution of a vehicle is negatively related to the probability that it is arbitraged. Arbitrage occurs in approximately 1% of transactions, although electronic trading is making arbitrage less prevalent by improving buyer/seller matching across locations. Arbitrage yields a 5.6% return on average, although arbitrageurs take a loss 14% of the time. Our results contribute to the literature on arbitrage, the effect of attention allocation on market outcomes, and the effect of information technology on market efficiency. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/394.abstract [article] A transaction-level analysis of spatial arbitrage : The role of habit, attention, and electronic trading [texte imprimé] / Eric Overby, Auteur ; Jonathan Clarke, Auteur . - 2012 . - pp. 394-412. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 394-412 Mots-clés : Spatial  arbitrage  Seller  distribution  Decision  making  Habit  Attention  allocation  Market  efficiency  Electronic  trading  Information  technology  Automotive Résumé : 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 transaction-level analysis of spatial arbitrage in the wholesale automotive market. We investigate why arbitrage opportunities are created by analyzing how sellers choose where to sell vehicles. We find that the attention sellers pay to the distribution of a vehicle is negatively related to the probability that it is arbitraged. Arbitrage occurs in approximately 1% of transactions, although electronic trading is making arbitrage less prevalent by improving buyer/seller matching across locations. Arbitrage yields a 5.6% return on average, although arbitrageurs take a loss 14% of the time. Our results contribute to the literature on arbitrage, the effect of attention allocation on market outcomes, and the effect of information technology on market efficiency. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/394.abstract

Penny wise, dollar foolish / Utpal Bhattacharya in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 413-431 Titre : Penny wise, dollar foolish : Buy–sell imbalances on and around round numbers Type de document : texte imprimé Auteurs : Utpal Bhattacharya, Auteur ; Craig W. Holden, Auteur ; Stacey Jacobsen, Auteur Année de publication : 2012 Article en page(s) : pp. 413-431 Note générale : Management Langues : Anglais (eng) Mots-clés : Cognitive  reference  points  Round  numbers  Left-digit  effect  Nine-ending  prices  Trading  strategies Résumé : 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 price points one penny below (above) round numbers. Further, the size of the buy–sell imbalance is monotonic in the roundness of the adjacent round number (i.e., largest adjacent to integers, second-largest adjacent to half-dollars, etc.). Conditioning on the price path, we find much stronger excess buying (selling) by liquidity demanders when the ask falls (bid rises) to reach the integer than when it crosses the integer. We discuss and test three explanations for these results. Finally, 24-hour returns also vary by price point, and buy–sell imbalances are a major determinant of that variation across price points. Buying (selling) by liquidity demanders below (above) round numbers yield losses approaching $1 billion per year. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/413.abstract [article] Penny wise, dollar foolish : Buy–sell imbalances on and around round numbers [texte imprimé] / Utpal Bhattacharya, Auteur ; Craig W. Holden, Auteur ; Stacey Jacobsen, Auteur . - 2012 . - pp. 413-431. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 413-431 Mots-clés : Cognitive  reference  points  Round  numbers  Left-digit  effect  Nine-ending  prices  Trading  strategies Résumé : 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 price points one penny below (above) round numbers. Further, the size of the buy–sell imbalance is monotonic in the roundness of the adjacent round number (i.e., largest adjacent to integers, second-largest adjacent to half-dollars, etc.). Conditioning on the price path, we find much stronger excess buying (selling) by liquidity demanders when the ask falls (bid rises) to reach the integer than when it crosses the integer. We discuss and test three explanations for these results. Finally, 24-hour returns also vary by price point, and buy–sell imbalances are a major determinant of that variation across price points. Buying (selling) by liquidity demanders below (above) round numbers yield losses approaching $1 billion per year. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/413.abstract

Initial public offerings as lotteries / T. Clifton Green in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 432-444 Titre : Initial public offerings as lotteries : Skewness preference and first-day returns Type de document : texte imprimé Auteurs : T. Clifton Green, Auteur ; Byoung-Hyoun Hwang, Auteur Année de publication : 2012 Article en page(s) : pp. 432-444 Note générale : Management Langues : Anglais (eng) Mots-clés : Lotteries  Skewness  preference  IPO  underpricing Résumé : 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 across industries as well as to time-series variation in the level of skewness in the market. IPOs with high expected skewness earn more negative abnormal returns in the following one to five years. High expected skewness is also associated with a higher fraction of small-sized trades on the first day of trading, which is consistent with a greater shift in holdings from institutions to individuals. The results suggest that first-day IPO returns are related to a preference for skewness. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/432.abstract [article] Initial public offerings as lotteries : Skewness preference and first-day returns [texte imprimé] / T. Clifton Green, Auteur ; Byoung-Hyoun Hwang, Auteur . - 2012 . - pp. 432-444. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 432-444 Mots-clés : Lotteries  Skewness  preference  IPO  underpricing Résumé : 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 across industries as well as to time-series variation in the level of skewness in the market. IPOs with high expected skewness earn more negative abnormal returns in the following one to five years. High expected skewness is also associated with a higher fraction of small-sized trades on the first day of trading, which is consistent with a greater shift in holdings from institutions to individuals. The results suggest that first-day IPO returns are related to a preference for skewness. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/432.abstract

Prospect theory, liquidation, and the disposition effect / Vicky Henderson in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 445-460 Titre : Prospect theory, liquidation, and the disposition effect Type de document : texte imprimé Auteurs : Vicky Henderson, Auteur Année de publication : 2012 Article en page(s) : pp. 445-460 Note générale : Management Langues : Anglais (eng) Mots-clés : Prospect  theory  Behavioral  finance  Disposition  effect  Liquidation  Optimal  stopping Résumé : 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 formalize the intuition. However, some have found it difficult to predict a disposition effect while others produce a more extreme prediction where investors never voluntarily sell at a loss. We solve a model of asset liquidation where investors realize utility over gains and losses, and utility is concave over gains and convex over losses. Under the preferences of Tversky and Kahneman (Tversky, A., D. Kahneman. 1992. Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertainty 5(4) 297–323) and lognormal asset prices, investors exhibit a disposition effect as gains are realized at a greater rate than losses. Nonetheless, in contrast to the extant literature, we find that the investor will “give up” and sell at a loss when the asset has a sufficiently low Sharpe ratio. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/445.abstract [article] Prospect theory, liquidation, and the disposition effect [texte imprimé] / Vicky Henderson, Auteur . - 2012 . - pp. 445-460. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 445-460 Mots-clés : Prospect  theory  Behavioral  finance  Disposition  effect  Liquidation  Optimal  stopping Résumé : 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 formalize the intuition. However, some have found it difficult to predict a disposition effect while others produce a more extreme prediction where investors never voluntarily sell at a loss. We solve a model of asset liquidation where investors realize utility over gains and losses, and utility is concave over gains and convex over losses. Under the preferences of Tversky and Kahneman (Tversky, A., D. Kahneman. 1992. Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertainty 5(4) 297–323) and lognormal asset prices, investors exhibit a disposition effect as gains are realized at a greater rate than losses. Nonetheless, in contrast to the extant literature, we find that the investor will “give up” and sell at a loss when the asset has a sufficiently low Sharpe ratio. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/445.abstract

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