We propose a direct measure of abnormal institutional investor attention (AIA) using news searching and news reading activity for specific stocks on Bloomberg terminals. AIA is highly correlated with ...institutional trading measures and related to, but different from, other investor attention proxies. Contrasting AIA with retail attention measured by Google search activity, we find that institutional attention responds more quickly to major news events, leads retail attention, and facilitates permanent price adjustment. The well-documented price drifts following both earnings announcements and analyst recommendation changes are driven by announcements to which institutional investors fail to pay sufficient attention.
A common belief held among researchers and policy makers is that regulatory reliance has inflated market demand for credit ratings, despite their decreasing informational value. Advances in ...information technology, coupled with reputation losses following the subprime crisis, renew the question of whether investors still rely on ratings to assess credit risk. Using Moody’s 2010 scale recalibration, which was unrelated to changing issuer fundamentals, we find that ratings still matter to investors and to issuers—apart from any regulatory implications. Our results commend improved disclosure to mitigate mechanistic reliance on ratings and inefficiencies due to rating standards that vary across asset classes.
This article shows that correlated errors in news about fundamentals are an important, rational determinant of excess comovement. Individual analysts’ forecast errors tend to be correlated across ...stocks. Using a proxy for correlated forecast errors based on analyst coverage, I find that stocks with similar sets of analysts exhibit more excess comovement, controlling for industry and other variables. Exogenous changes in commonality in analyst coverage around i) brokerage firm mergers and ii) additions to an index lead to changes in excess comovement. This information channel explains 10% to 25% of the increase in comovement around additions to the S&P 500 index.
Information Consumption and Asset Pricing BEN‐REPHAEL, AZI; CARLIN, BRUCE I.; DA, ZHI ...
The Journal of finance (New York),
February 2021, 2021-02-00, 20210201, Letnik:
76, Številka:
1
Journal Article
Recenzirano
Odprti dostop
ABSTRACT
We study whether firm and macroeconomic announcements that convey systematic information generate a return premium for firms that experience information spillovers. We use information ...consumption to proxy for investor learning during these announcements and construct ex ante measures of expected information consumption (EIC) to calibrate whether learning is priced. On days when there are information spillovers, affected stocks earn a significant return premium (5% annualized) and the capital asset pricing model performs better. The positive effect of the Federal Reserve Open Market Committee announcements on the risk premia of individual stocks appears to be modulated by EIC. Our findings are most consistent with a risk‐based explanation.
Who Pays Attention to SEC Form 8-K? Ben-Rephael, Azi; Da, Zhi; Easton, Peter D. ...
The Accounting review,
09/2022, Letnik:
97, Številka:
5
Journal Article
Recenzirano
ABSTRACT
The SEC requires public companies to disclose material information on Form 8-K within four days of a triggering event. We show that on 8-K event and filing dates, there is significant ...abnormal attention on Bloomberg terminals, which are a source of information for institutional investors, while traditional media attention tends to be higher on filing days. Significant price discovery occurs on the event date and on the days between that day and the filing date. The traditional media coverage on the filing day appears to attract the attention of retail investors and leads to further price changes in the direction of the pre-filing day price change. Institutional investors exploit this price pressure via opportunistic liquidity provision. Overall, our evidence suggests that the Form 8-K filing may have little direct informational benefit, particularly to retail investors.
JEL Classifications: D8; G1; G2; M4.
This research hypothesizes that, in markets where information costs, transaction costs and the economic impact of information can vary widely, we should expect predictability to vary systematically. ...We test this hypothesis with data on equity real estate investment trusts (REITs) from 1985 to 1992. We document that levels of predictability vary with firm characteristics like leverage, size and focus. Momentum is stronger for larger, more levered REITs. Reversion is faster for focused, levered REITs. The results are consistent with the hypothesis that, in equilibrium, securities, where information is either less costly to acquire or has less impact on fundamental value, should exhibit less predictability.
Future areas of research should focus on the viability of solid organ transplantation as a bridge to curative SCT in patients with secondary organ damage.
The appraisal of the “market value” of homes serving as the collateral for mortgages is a fundamental part of the underwriting process. If a loan should default, however, it is not the retail market ...value that the lender obtains, but rather the “recovery value.” In this research, we show how recovery values differ from market values at origination and explore the reasons for the differences. Using a large sample of chattel mortgages on manufactured homes, we explore the relationship among the selling prices, the book values, and the fitted values from simple hedonic models with spatial autocorrelation. We then address the differences between selling prices at origination and recoveries from repossessed homes. We find that the spread between them varies systematically with home characteristics and especially with “atypicality,” that is, with measures of how unusual a home is. Selling prices both at origination and recovery affect borrower defaults.
Although previous single-center studies report the rate of anaphylaxis for oral food challenges (OFCs) as 9% to 11%, little is known regarding the epidemiology of clinical OFCs across multiple ...centers in the United States.
To examine the epidemiology, symptoms, and treatment of clinical low-risk OFCs in the nonresearch setting.
Data were obtained from 2008 to 2013 through a physician survey in 5 food allergy centers geographically distributed across the United States. Allergic reaction rates and the association of reaction rates with year, hospital, and demographics were determined using a linear mixed model. Meta-analysis was used to pool the proportion of reactions and anaphylaxis with inverse-variance weights using a random-effects model with exact confidence intervals (CIs).
A total of 6,377 OFCs were performed, and the pooled estimate of anaphylaxis was 2% (95% CI, 1%-3%). The rate of allergic reactions was 14% (95% CI, 13%-16%) and was consistent during the study period (P = .40). Reaction rates ranged from 13% to 33%. Males reacted 16% more frequently than females (95% CI, 4%-37.5%; P = .04). Foods challenged in 2013 varied geographically, with peanut as the most challenged food in the Northeast, Midwest, and West and egg as the most challenged in the South.
As the largest national survey of allergic reactions of clinical open OFCs in a nonresearch setting in the United States, this study found that performing clinical nonresearch open low-risk OFCs results in few allergic reactions, with 86% of challenges resulting in no reactions and 98% without anaphylaxis.
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