A5006347099- Corporate Finance and Governance
- Financial Markets and Investment Strategies
- Auditing, Earnings Management, Governance
- Market Dynamics and Volatility
- Banking stability, regulation, efficiency
- Corporate Social Responsibility Reporting
- Credit Risk and Financial Regulations
- Insurance and Financial Risk Management
- Financial Reporting and Valuation Research
- Complex Systems and Time Series Analysis
- Corporate Taxation and Avoidance
- Risk Management in Financial Firms
- China's Socioeconomic Reforms and Governance
- Sustainable Finance and Green Bonds
- Housing Market and Economics
- Corporate Insolvency and Governance
- Policing Practices and Perceptions
- Environmental Sustainability in Business
- Conflict of Laws and Jurisdiction
- Infrastructure Resilience and Vulnerability Analysis
- Insurance, Mortality, Demography, Risk Management
- Corruption and Economic Development
- Electrochemical sensors and biosensors
- Dispute Resolution and Class Actions
- Safety and Risk Management
UNSW Sydney
2013-2024
Fudan University
2024
Tongji University
2015
Northwestern University
2012-2014
National Bureau of Economic Research
2010-2014
University of Notre Dame
2012-2014
Texas A&M University
2014
Hunan Police Academy
2006-2012
The University of Melbourne
2010
International Paper (United States)
2010
Journal Article Information, Analysts, and Stock Return Comovement Get access Allaudeen Hameed, Hameed National University of Singapore Search for other works by this author on: Oxford Academic Google Scholar Randall Morck, Morck Alberta Jianfeng Shen, Shen New South Wales Bernard Yeung The Review Financial Studies, Volume 28, Issue 11, November 2015, Pages 3153–3187, https://doi.org/10.1093/rfs/hhv042 Published: 04 August 2015
This study explores the distress risk anomaly—the tendency for stocks with high credit to perform poorly—among 38 countries over two decades. We find a strongly negative relationship between default probabilities and equity returns concentrated among low-capitalization in developed North America Europe. Although risk-based explanations provide poor account of these patterns, several pieces evidence point behavioral interpretation, suggesting that firms financial are temporarily overpriced....
This paper takes a new approach to examine whether investors extrapolate from past returns form expectations about future stock returns. Unlike prior research that relies on experiments or surveys derive investors’ expectations, we estimate expected directly prices, the book value of equity, and analyst earnings forecasts. We find are positively related both market However, seem be overoptimistic (overpessimistic) for stocks had extremely high (low) in previous year. Furthermore, growth...
We examine information spillover as a source of stock return synchronicity, where about highly-followed "prominent" stocks is used to price other "neglected" sharing common fundamental component.We find that followed by few analysts co-move significantly with firm-specific fluctuations in the prices highly same industry, but do not observe converse.This effect more prominent industries follow fewer stocks.Earnings forecast revisions for cause changes little stocks, converse again...
This study explores the distress risk anomaly — tendency for stocks with high credit to perform poorly among 38 countries over two decades. We find a strong, negative link between default probabilities and equity returns, concentrated low-capitalization in developed North America Europe. Although risk-based explanations provide poor account of these patterns, several pieces evidence point behavioral interpretation, suggesting that firms financial are temporarily overpriced.
Analysts follow disproportionally firms whose fundamentals correlate more with those of their industry peers. This coverage pattern supports models profit-maximizing information intermediaries producing preferentially valuable in pricing stocks. We designate highly followed best predict peer as bellwether firms. When analysts revise a firm’s earning forecast, it changes the prices other significantly; however, revisions for that are less intensely do not change heavily Unidirectional...
This study explores the distress risk anomaly — tendency for stocks with high credit to perform poorly among 38 countries over two decades. We find a strong, negative link between default probabilities and equity returns, concentrated low-capitalization in developed North America Europe. Although risk-based explanations provide poor account of these patterns, several pieces evidence point behavioral interpretation, suggesting that firms financial are temporarily overpriced.
Roll (1988) finds that idiosyncratic influences strongly dominate systematic in stock returns. However, it is extensively debated whether the prevailing are due to firm-specific information or noise. In this paper, I empirically address question by examining contribution of proxies private information, public and noise variation volatility. My empirical findings suggest amount incorporated prices dominates driving Furthermore, explanatory power for volatility decreases with horizon over...
Corporate social responsibility (CSR) contracting incorporates environmental, social, and governance (ESG) related measures in executive compensation plans. Current research on this practice is limited to a US setting, despite global adoption. We investigate heterogeneity CSR using data from 59 countries between 2002 2019. find that besides firm-level past ESG performance the industry-level adoption rate, country-level regulations have significant explanatory power firms' tendencies adopt...
Fairness-aware statistical learning is critical for data-driven decision-making to mitigate discrimination against protected attributes, such as gender, race, and ethnicity. This especially important high-stake decision-making, insurance underwriting annuity pricing. paper proposes a new fairness-regularized principal component analysis - Fair PCA, in the context of high-dimensional factor models. An efficient gradient descent algorithm constructed with adaptive selection criteria...
This paper shows that the degree of information asymmetry is lower for firms with more frequent news releases. The relation holds various measures such as probability information-based trading (PIN), permanent price impact, and adverse selection component bid-ask spread, even after adjusting endogeneity between release asymmetry. By decomposing PIN into intensities uninformed informed trades, similarly to Brown Hillegeist [2007, Review Accounting Studies 12, 443-477], we find intensity...
A stock divestment campaign is a common strategy used by social activists to pressure corporations abandon undesirable practices. However, evidence on the effectiveness of remains mixed. In this paper, we examine an international boycott studying large sample institutional investor transactions in four emerging market stocks targeted Sudan from 2001 2012. We find negative relationship between intensity and ownership breadth stocks, suggesting encouraging investors divest companies....
This study examines the use of insider trading information by hedge funds. Exploiting quarterly holdings data and daily transactions institutional investors, we find evidence that funds follow informed opportunistic trades after they become publicly known to market participants, while do not respond liquidity-driven trades. In contrast, mutual funds, pension other investors (primarily banks insurance companies) are more likely trade in opposite direction as insiders, regardless insiders’...