AFA2019会议论文（3）：Behavioral Corporate Finance

AFA2019会议论文（3）：Behavioral Corporate Finance

金融经济学 2018-12-20

03期

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Limited Attention to Detail in Financial Markets

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What Causes Passive Hedge Funds to Become Activists?

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CAPM-Based Company (Mis)valuations

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The Effect of Superstar Firms on College Major Choice

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1、Limited Attention to Detail in Financial Markets

Henrik Cronqvist，University of Miami

Tomislav Ladika，University of Amsterdam

Zacharias Sautner，Frankfurt School of Finance and Management

Abstract

We show that analyst valuations became less accurate and more pessimistic following a large drop in accounting earnings that did not reveal new information about firm value. FAS 123-R required firms to begin expensing option compensation in income statements, instead of disclosing costs only in footnotes. We exploit that FAS 123-R’s compliance dates were staggered quasi-randomly based on firms’ fiscal year-ends. Firms that expensed options were more likely to miss earnings forecast, relative to firms that did not yet expense options. Analysts also more often revised down these firms’ recommendations, resulting in large market value drops. Our results are consistent with the limited attention hypothesis: Analysts and investors overvalue firms when value-relevant information is less accessible.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=664

2、What Causes Passive Hedge Funds to Become Activists?

Marco Elia，Queensland University of Technology

Abstract

About 20% of the total activist hedge funds’ positions are initiated as passive holdings, that is without the intention of changing or influencing the control of the target firms. At some point, however, the hedge funds change their filing status and switch to activism. My paper investigates what triggers this switch. I hypothesize and find that hedge funds see the purchase price of their passive positions as a reference point. When hedge funds are suffering losses on these positions, they are more likely to switch to become activists, even after controlling for the firms’ underperformance. This study presents new evidence about what causes hedge fund activism.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=769

3、CAPM-Based Company (Mis)valuations

Olivier Dessaint，University of Toronto

Jacques Olivier，HEC Paris

Clemens Otto，Singapore Management University

David Thesmar，Massachusetts Institute of Technology

Abstract

There is a discrepancy between CAPM-implied and realized returns. As a result, using the CAPM in capital budgeting decisions – as is recommended in finance textbooks – should have valuation effects. For instance, low beta projects are expected to be valued more by CAPM-using managers than by the market. This paper empirically tests this hypothesis using publicly announced M&A decisions. We show that takeovers of lower beta targets are accompanied by lower CARs for the bidder.Consistent with our hypothesis, the effect is more pronounced for larger acquisitions, higher growth targets, and private targets. Furthermore, low beta bidders are more likely to use their own stock to finance the deal. More generally, low beta firms are less likely to issue equity, and more likely to repurchase shares. These effects are not reversed in the long-run, suggesting that CAPM-using managers may be irrational, though this last test lacks power.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1106

4、The Effect of Superstar Firms on College Major Choice

Darwin Choi，The Chinese University of Hong Kong

Dong Lou，London School of Economics

Abhiroop Mukherjee，Hong Kong University of Science and Technology

Abstract

We study the effect of superstar firms on an important human capital decision – college students’ choice of major. Past salient, extreme events in an industry, as proxied by cross-sectional skewness in stock returns (or in favorable news coverage), are associated with a disproportionately larger number of college students choosing to major in related fields, even after controlling for the average industry return. This tendency to follow the superstars, however, results in a temporary over-supply of human capital. Specifically, we provide evidence that the additional labor supply due to salient, extreme events lowers the average wage earned by entry-level employees when students enter the job market. At the same time, employment size and employee turnover stay roughly constant in related industries, consistent with the view that labor demand is relatively inelastic in the short run. In the longer term, firms cope with the supply increase by gradually expanding the number of positions that require prior experience.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1440

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