The Russell 1000 and 2000 stock indexes comprise the first next largest firms ranked by market capitalization. Small changes in capitalizations of near move them between these indexes. Because are value-weighted, more money tracks stocks than smallest 1000. Using this discontinuity, we find that additions to result price increases deletions declines. We then identify time trends indexing effects types funds provide liquidity indexers.

ABSTRACT We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits staggered implementation Electronic Data Gathering, Analysis, and Retrieval (EDGAR) system, which induces a reduction disagreement. Consistent with models disagreement, EDGAR inclusion helps resolve around information events, leading to stock price corrections. The following also reduces crash risk, especially among stocks binding short‐sale constraints...

Abstract We show that analyst behavior changes in response to a randomly assigned shock exogenously varies the timeliness and cost of accessing mandatory disclosures cross-section investors: analysts reduce coverage issue less optimistic, more accurate, bold, informative forecasts. Our evidence indicates strategic component their behavior: are stronger among with incentives like affiliated or retail-focused analysts. conclude disclosure can substitute for information production, which is...

ABSTRACT Access to firms’ innovation outputs determines the extent of knowledge spillover that poses risk appropriability. We provide plausibly causal evidence processing costs financial disclosures, which inform users economic value innovation, play a key role in management spillover. exploit an exogenous, randomly assigned, and staggered policy shock by SEC reduces mandatory disclosures. In response, firms reduce patenting rates, with effect concentrated among more competitive industries...

Background/Objectives: Crohn’s disease (CD) is a progressive condition, and early treatment with infliximab combined an immunosuppressant within six months has been shown to improve clinical outcomes. However, the impact of ustekinumab (UST) use in biologic-naïve CD patients remains unclear. This study aims address this gap by evaluating outcomes UST intervention such patients. Methods: In retrospective cohort study, we included treated UST, follow-up period at least from October 2020...

Diversity of opinions among investors plays a crucial role in models financial market speculation and bubbles. Yet, little is known about the origins investor disagreement. Using unique data from China, we identify an important cultural linguistic factor. We show that living linguistically diverse areas express more on stock message boards trade stocks actively. use geographical isolation area due to hilly terrain as instrument for diversity. then discriminate favor differential...

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ABSTRACT Bolton, Scheinkman, and Xiong (2006) model a setting where investors disagree short‐sales constraints cause pessimistic views of stock prices to be less influential, which leads speculative prices. A theoretical implication the is that existing shareholders can exploit by (i) designing managerial compensation contracts encourage short‐term performance, (ii) subsequently selling their shares more optimistic investors. We document empirical support for this theory finding an exogenous...

Studies find price increases for additions to the S&P 500 index but no decreases deletions.Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect.We develop a regression discontinuity design using Russell Indices cleaner identification.Stocks assigned indices based on their end-of-May market capitalizations.Stocks ranked below 1000 in 2000.The value-weighted so stocks receive buying whereas those above have close none.Using this random...

Diversity of opinions among investors plays a crucial role in models financial market speculation and bubbles. Yet, little is known about the origins investor disagreement. Using unique data from China, we identify an important cultural linguistic factor. We show that living linguistically diverse areas express more on stock message boards trade stocks actively. use geographical isolation area due to hilly terrain as instrument for diversity. then discriminate favor differential...

Abstract We study jump variance risk by jointly examining both stock and option markets. develop a GARCH pricing model with dynamics nonmonotonic kernel featuring premium. The yields closed‐form formula improves in fitting index options from 1996 to 2015. model‐implied premium has predictive power for future market returns. In the cross‐section, heterogeneity exposures leads 6% difference risk‐adjusted returns annually.

Polyphone disambiguation is the most crucial task in Mandarin grapheme-to-phoneme (g2p) conversion.Previous studies have approached this problem using pre-trained language models, restricted output, and extra information from Part-Of-Speech (POS) tagging.Inspired by these strategies, we propose a novel approach, called g2pW, which adapts learnable softmax-weights to condition outputs of BERT with polyphonic character interest its POS tagging.Rather than hard mask as previous works, our...

We provide plausibly identified evidence for the role of investor disagreement in asset pricing. Our natural experiment exploits staggered implementation EDGAR, which induces a reduction disagreement. Consistent with models disagreement, EDGAR inclusion helps resolve around information events, leading to stock price corrections. The following also reduces crash risk, especially among stocks binding short-sale constraints and high optimism.

Download This Paper Open PDF in Browser Add to My Library Share: Permalink Using these links will ensure access this page indefinitely Copy URL DOI

We show that analyst behavior changes in response to a randomly assigned shock exogenously varies the timeliness and cost of accessing mandatory disclosures cross-section investors: analysts reduce coverage issue forecasts are less optimistic, more accurate, bold, informative. Our evidence supports channel strategic component their behavior: stronger among with incentives, such as affiliated or retail-focused analysts. conclude disclosure can substitute for information production, which is...

Bolton, Scheinkman, and Xiong (2006) analyze a setting where investors disagree short-sale constraints cause pessimistic views of stock prices to be sidelined, which leads speculative prices. A theoretical implication the model is that existing shareholders can exploit by (1) designing managerial compensation contracts encourage short-term performance (2) subsequently selling their shares more optimistic investors. We document empirical support for this theory finding an exogenous removal...

Market reactions to non-fundamental news (or no-news) reverse for extreme firm information environments. A one percentage increase in intangible returns small firms (large firms) lead a 0.67% decrease (0.39% increase) monthly over the next 12 months. The results are robust characteristics adjustments, alternative measures of environment and private information, idiosyncratic risk, microstructure effects. consistent with cross-sectional findings confirmation bias, where decision makers show...

We test the hypothesis that linguistic diversity of a stock’s investor base leads to more trading. Trading might be due beliefs differing across languages or exposure multiple leading trading ideas. Using stock message boards from China, which has ten languages, we measure using Herfindahl index messages posted different languages. A firm’s increases in number spoken province where it is headquartered. latter as instrument, volume rises with its diversity. then attempt discriminate among...