Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?

I propose a Capital Asset Pricing Model in which investor demand exhibits a speculative component. In equilibrium, investors' optimal trade-off between diversification and speculation generates predictable patterns for stocks with extreme book-to-market ratios. Using data on U.S. stocks, I find evidence consistent with the model predictions. I show that the value premium varies with investors’ propensity to speculate, and therefore includes a substantial behavioral component. Overall, the findings shed new light on the role of dichotomous risk-preferences in asset pricing

Investor Sentiment and Employment

__Abstract__ We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher employment growth worldwide; (2) lower labor productivity, as the growth in employment is not matched by real value added growth; and (3) positive wage growth in countries with a greater proportion of high-skill labor, but negative wage growth otherwise. We also find evidence that sentiment induces greater labor instability during financial crises, which sheds new light on the view that financial development has a "dark side". Overall, the results suggest that sentiment has real effects, especially in countries that attract more foreign direct investments from the US and that are perceived as more popular among US investors

Investor Sentiment and Employment

We develop a multi-country model with moral hazard and noise traders, and show that investor sentiment should affect employment growth both domestically and abroad. Using a large sample of international industry-level data, we find strong support for the model's predictions. We show that US investor sentiment has a positive association with labor market conditions around the world, due to spillover effects as well as foreign direct investments from the US. We also find that US sentiment amplifies the negative effect of local financial crises on job losses, which supports the idea that financial development has a "dark side"

Wage gap and stock returns: Do investors dislike pay inequality?

Recent research shows that a high wage-gap between managers and workers identifies better-performing firms, but the stock market does not seem to price this information. In this paper, we show that not all investors neglect pay inequality. Using a unique data set on German firms' employee compensation, we find that the mispricing of the wage gap is driven by limits to arbitrage. Specifically, some investors seem to bid up low-wage-gap stocks for non-monetary reasons, thus exhibiting a preference for low pay-inequality. The results suggest that firms with equitable pay schemes are rewarded with a lower cost of capital

Company name fluency and stock returns

Previous research shows that stocks with fluent names trade at higher prices. In this paper, we test whether fluency simply appeals to naive investors, or actually identifies better firms. We find that companies with fluent names are more profitable, but some investors appear to neglect this information. Correspondingly, stocks with fluent names yield higher abnormal returns relative to stocks with nonfluent names. Consistent with our theoretical model, these effects are concentrated among firms with low market capitalization and high sensitivity to investor sentiment. The results lend novel support to the view that company names convey information

Planning and managing a seismic emergency: The INGV drill of November 26th, 2015 carried out in the framework of the activity line T5 "Seismic surveillance and post-earthquake operational procedures" | Pianificazione e gestione di un'emergenza sismica: Esercitazione INGV del 26 novembre 2015 effettuata nell'ambito della Linea di Attività T5 "Sorveglianza sismica e operatività post terremoto"

Nella Struttura Terremoti dell’INGV la Linea di Attività T5 “Sorveglianza sismica ed operatività postterremoto” si occupa delle attività di sviluppo di strumenti e procedure per la valutazione in tempo reale degli effetti di terremoti e tsunami e della gestione delle emergenze sismiche. Uno dei suoi obiettivi del 2015 era la formalizzazione dei protocolli di intervento di Gruppi d’Emergenza, avvenuta per Emergeo, Emersito, IES, QUEST e Sismiko con Decreto del Presidente nel luglio 2015. Altro obiettivo era l’elaborazione di un Protocollo di Ente per la gestione delle emergenze sismiche. La bozza preparata nel 2015 prevede l’importante novità dell’Unità di Crisi, mai formalizzata in precedenza. Attraverso questo Protocollo di Ente si auspica di migliorare la risposta logistico-operativa dell’INGV durante l’emergenza, di avere una più rapida conoscenza del fenomeno in corso e di realizzare un’efficace comunicazione verso Protezione Civile, media e pubblico. Per verificare il tutto è stata organizzata un’esercitazione in cui è stato simulato un terremoto di magnitudo 6.4 nel basso Lazio. Si sono così sperimentate l’efficacia del flusso azioni/informazioni durante un’emergenza, il funzionamento dell’Unità di Crisi, la funzionalità dei protocolli dei Gruppi d’Emergenza, l’efficienza delle attività in sede per gli aspetti tecnico-logistici, il flusso di comunicazione interno e le comunicazioni istituzionali esterne (queste ultime simulate). In questo articolo sono descritte le fasi di organizzazione ed attuazione dell’esercitazione. Inoltre, durante il suo svolgimento, la valutazione dell’efficacia dell’organizzazione e delle attività svolte dai gruppi coinvolti è stata affidata ad alcuni osservatori e qui è allegata l’elaborazione dei commenti riportati. Abbiamo fatto infine una sintesi dei risultati positivi e delle criticità emerse dall’esercitazione, attività così importante a nostro avviso da considerarne indispensabile la ripetizione con cadenza quanto meno annuale.Published1SR. TERREMOTI - Servizi e ricerca per la SocietàN/A or not JCRope

Does the U.S. president affect the stock market?

Previous research shows that Democrat- and Republican-leaning investors hold different stock market expectations. In this paper, I identify a novel channel through which political opinions affect investor behavior. Instead of political affiliation, I consider nonpartisan evaluations of the executive from presidential approval rating polls. I find that large net disapproval over the U.S. president’s job is followed by low stock returns, especially in times of high political uncertainty and low market-wide sentiment. Notably, this mechanism explains away Santa-Clara and Valkanov’s (2003) “presidential puzzle.” Overall, the findings suggest that nonpartisan political views have a substantial impact on stock prices

Does the U.S. President Affect the Stock Market?

I find that in a world with asymmetric information and short-sale constraints, sentiment and disagreement over political outcomes should play a key role in determining asset prices. Consistent with the model’s predictions, I show that in the U.S. (1) higher political sentiment and disagreement are both followed by lower stock returns; (2) the two effects interact with each other, as positive (negative) sentiment offsets (reinforces) the impact of disagreement; and (3) disagreement increases when the President engages in opportunistic behavior. The paper also yields new insights on Santa-Clara and Valkanov’s (2003) presidential puzzle