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Power Distance Belief, Power, and Charitable Giving

Authors:聽聽Dahee Han, Ashok K. Lalwani and Adam Duhachek

Publication: Journal of Consumer Research, Vol. 44, No. 1, June 2017

Abstract:

Three studies examine the relation between power distance belief (PDB), the tendency to accept and expect inequalities in society; power, the control one has over valued resources; and charitable giving. Results suggest that the effect of PDB depends on the power held by the donor. In low-PDB contexts, people high (vs. low) in psychological power tend to be more self-focused (vs. other-focused), and this leads them to be less charitable. In high-PDB contexts, however, people high (vs. low) in psychological power tend to be more other-focused (vs. self-focused), and this leads them to be more charitable. The authors also explore several boundary conditions for these relationships and conclude with the implications of these findings.

Read full article: Journal of Consumer Research

Published: 17 Oct 2017

Illiquidity Premia in the Equity Options Market

Authors: Peter Christoffersen, Ruslan Goyenko, Kris Jacobs, Mehdi Karoui

Publication: Review of Financial Studies, Vol. 31, No. 3, March 2018

Abstract:

Standard option valuation models leave no room for option illiquidity premia. Yet we find the risk-adjusted return spread for illiquid over liquid equity options is 3:4% per day for at-the-money calls and 2:5% for at-the-money puts. These premia are computed using option illiquidity measures constructed from intraday effective spreads for a large panel of U.S. equities, and they are robust to different empirical implementations. Our findings are consistent with evidence that market makers in the equity options market hold large and risky net long positions, and positive illiquidity premia compensate them for the risks and costs of these positions.

Read full article: Review of Financial Studies

Published: 17 Oct 2017

Mathieu Bouvard wins SFI Outstanding Paper Award 2017

The Swiss Finance Institute (SFI) has attributed its Outstanding Paper Award to "The Blockchain Folk Theorem," a research paper by Bruno Biais, Toulouse School of Economics, Christophe Bisi猫re, Toulouse School of Economics, Matthieu Bouvard, 六合彩开奖结果, and Catherine Casamatta, Toulouse School of Economics, that investigates the stability of the blockchain protocol in a game-theoretic approach.

Published: 13 Oct 2017

Home Bias Abroad: Domestic Industries and Foreign Portfolio Choice

Authors: David Schumacher

Publication: Review of Financial Studies, Forthcoming

Abstract:

Published: 11 Oct 2017

Scenario generation for long run interest rate risk assessment

Authors: Robert Engle, Guillaume Roussellet, Emil Siriwardane

Publication: Journal of Econometrics, Vol. 201, No. 2, December 2017

Abstract:

Published: 3 Oct 2017

Staying at zero with affine processes: An application to term structure modelling

Authors: Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne and Guillaume Roussellet

Publication: Journal of Econometrics, Vol. 201, No. 2, 2017, pp. 348-366.

Abstract:

Published: 2 Oct 2017

Value is in the Eye of the Beholder: The Relative Valuation Roles of Earnings and Book Value in Merger Pricing

Author: MaryJane Rabier聽

Publication: The Accounting Review, Vol. 93, No. 1, 2018, pp. 335-362

Abstract:

Gupta and Gerchek (2002) argue that different acquirers can arrive at different equity valuations for the same target depending on their strategic intent. A reason for acquirers' equity valuations to vary, holding target fundamentals constant, may be that individual acquirers place different weights on underlying fundamentals. I examine this possibility using Burgstahler and Dichev (1997)'s theoretical framework. They argue that the relative importance of earnings and book value depends on expected adaptation, which is the likelihood that the existing earnings generating process will be altered. Using restructuring costs to proxy for expected adaptation at the individual acquirer level, I find that the association between the target's earnings (book value) and acquirers' bid prices is decreasing (increasing) in expected adaptation, consistent with theoretical predictions. These findings are less pronounced during merger waves and intense bid competition for the target.

Read full article: The Accounting Review

Published: 28 Sep 2017

Acquisition Motives and the Distribution of Acquisition Performance

Author: MaryJane Rabier

Publication: Strategic Management Journal, Vol. 38, No. 13, 2017

础产蝉迟谤补肠迟:听

Research summary:

I examine how acquisition motives relate to the distribution of post-acquisition performance. I argue that acquisitions motivated by operating synergies have the potential to experience greater gains than acquisitions driven by financial synergies but are harder to value and implement, making them more uncertain. Using SEC filings, conference calls and press releases to capture acquisition motives, I find that acquirers pursuing operating synergies are more likely to experience highly positive and highly negative long-term returns than acquirers pursuing financial synergies.

I also find that acquisition experience and geographic proximity to targets soften acquirers' extreme downside outcomes in operating synergy acquisitions. My theory and results suggest that approaches that emphasize average outcomes for acquirers and use industry classifications to capture acquisition motives may be incomplete.

Managerial summary:聽

Managers engage in acquisitions for various reasons. In this study, I find that reasons related to operating synergies (e.g., revenue growth through new product offerings or cost savings through economies of scale) are more likely to result in extreme high and low performance outcomes for the acquiring firm compared to reasons related to financial synergies (e.g., diversification of cash flow streams).

In addition, I find that the acquirer's prior acquisition experience and the geographic proximity between the target and acquirer help soften the extreme low performance outcomes related to operating synergies.聽

Read full article: Strategic Management Journal

Published: 28 Sep 2017

Saurabh Mishra appointed to Editorial Review Board of JAMS

Saurabh Mishra, Associate Professor in Marketing, has been appointed to the Editorial Review Board of the Journal of the Academy of Marketing Science (JAMS).

JAMS is devoted to the study and improvement of marketing and serves as a vital link between scholarly research and practice by publishing research-based articles in the substantive domain of marketing.

Published: 17 Aug 2017

Stock overreaction to extreme market events

Authors: Pedro Piccolia, Mo Chaudhury, Alceu Souza and Wesley Vieirada Silvaa

Publication: The North American Journal of Economics and Finance, Vol. 41, July 2017

Abstract:

The paper investigates the behavior of individual US stocks during the 21 trading days following the event of extreme movement in the market index on a day.

Published: 17 Aug 2017