Michael C. Jensen, Eugene F. Fama, Kenneth French, Jay Shanken, Andrei Shleifer, Clifford W. Smith, ...
Published by ELSEVIER in collaboration with the WILLIAM E. SIMON GRADUATE SCHOOL OF BUSINESS ADMINISTRATION,
Investor Sentiment and Corporate Finance: Micro and Macro (2008)
Owen Lamont And, Owen A. Lamont, Jeremy C. Stein, Jay R. Ritter, Tim Loughran
this paper, we provide some new evidence that cuts in favor of the behavioral view. Our starting point is Paul A. Samuelson's dictum that market efficiency is a better description of the pricing...
Why Don't Issuers Get Upset About Leaving Money on the Table in IPOs? (2002)
One of the puzzles regarding initial public offerings (IPOs) is that issuers rarely get upset about leaving substantial amounts of money on the table, defined as the number of shares sold times the...
NBER WORKING PAPER SERIES BIASES IN THE IPO PRICING PROCESS (2001)
Michelle Lowry, G. William Schwert, Tim Loughran, Er Ljungqvist, Vojislav Maksimovic, Jay Ritter, ...
Zimmerman, and seminar participants at the University of Rochester. The views expressed herein are those of the authors and not necessarily those of the National Bureau of Economic Research.
Earnings Management and (1998)
The Long-Run Market, Siew Hong Teoh, Ivo Welch, T. J. Wong, David Hirshleifer, Michael Kirschenheiter, ...
Issuers of initial public offerings (IPOs) can report earnings in excess of cash flows by taking positive accruals. This paper provides evidence that issuers with unusually high accruals in the IPO...
Gender, Overconfidence, and Common Stock Investment (1998)
Brad M. Barber, Terrance Odean, David Hirshleifer, Andrew Karolyi, Tim Loughran, Edward Opton, ...
Theoretical models predict that overconfident investors trade excessively. We test this prediction by partitioning investors on gender. Psychological research demonstrates that, in areas such as...
The Operating Performance of Firms Conducting Seasoned Equity Offerings (1997)
: Recent studies have documented that firms conducting seasoned equity offerings have inordinately low stock returns during the five years after the offering, following a sharp run-up in the year...
Divergence of Opinion, Uncertainty, and the Quality of Intitial Public Offerings
Todd Houge, Tim Loughran, Gerry Suchanek, Xuemin Yan
We explore the relation between investor uncertainty, divergence of opinion, and the performance of initial public offerings (IPOs). We examine three opening-day proxies: the percentage opening...
A Spline Analysis of the Small Firm Effect: Does Size Really Matter?
Joel L. Horowitz, Tim Loughran, N. E. Savin
This paper uses average monthly returns and linear spline regressions to investigate the relation between expected return and firm size during 1980-1994. We find that the average monthly returns are...
Do Investors Capture the Value Premium?
Do investors realize higher returns by investing in value stocks instead of growth stocks? Examination of a sample of equity indexes, mutual funds, and large-cap stocks reveals no evidence that value...
Do Long-Term Shareholders Benefit from Corporate Acquisitions?
Using 947 acquisitions during 1970-89, this article finds a relationship between the postacquisition returns and the mode of acquisition and form of payment. During a five-year period following the...
Companies issuing stock during 1970 to 1990, whether an initial public offering or a seasoned equity offering, have been poor long-run investments for investors. During the five years after the...
The Operating Performance of Firms Conducting Seasoned Equity Offerings.
Recent studies have documented that firms conducting seasoned equity offerings have inordinately low stock returns during the five years after the offering, following a sharp run-up in the year prior...
Long-Term Market Overreaction: The Effect of Low-Priced Stocks.
Conrad and Kaul (1993) report that most of De Bondt and Thaler's (1985) long-term overreaction findings can be attributed to a combination of bid-ask effects when monthly cumulative average returns...
Mutual Fund Incubation and the Role of the Securities and Exchange Commission
A mutual fund family incubates a fund when it creates a privately subsidized fund not available to the general investing public. It destroys unsuccessful incubator funds. The few successful funds...
Why Has IPO Underpricing Changed Over Time?
In the 1980s, the average first-day return on initial public offerings (IPOs) was 7%. The average first-day return doubled to almost 15% during 1990-1998, before jumping to 65% during the internet...
Why Don't Issuers Get Upset About Leaving Money on the Table in IPOs?
One of the puzzles regarding initial public offerings (IPOs) is that issuers rarely get upset about leaving substantial amounts of money on the table, defined as the number of shares sold times the...
Does Payment For Order Flow To Your Broker Help Or Hurt You?
Payment for order flow, Madoff, Broker execution, Internalization,
Divergence of Opinion Surrounding Extreme Events
Tim Loughran, Jennifer Marietta-Westberg
"This paper examines the stock market performance of a large sample of new issues (IPOs and SEOs) following an extreme price movement during the first three years after the offering. Strong...
A Wolf in Sheep’s Clothing: The Use of Ethics-Related Terms in 10-K Reports
Tim Loughran, Bill McDonald, Hayong Yun
code of ethics, Sarbanes-Oxley, corporate governance,
Discounting and Clustering in Seasoned Equity Offering Prices
An analysis of 4,814 SEOs during 1986 1999 indicates that the average offering ofnew shares is priced at a discount of 3% from the closing price on the day before the issue. Discounts have risen...
Book-to-Market across Firm Size, Exchange, and Seasonality: Is There an Effect?
Fama and French (1992) report that size and the book-to-market ratio capture the cross-sectional variation of average stock returns for the universe of NYSE, Amex, and Nasdaq securities. This paper,...
Weather, Stock Returns, and the Impact of Localized Trading Behavior
We document by several methods that trading in Nasdaq stocks is localized, but find little evidence that cloudy weather in the city in which a company is based affects its returns. The first evidence...