The Earnings Announcement Premium and Trading Volume

On average, stock prices rise around scheduled earnings announcement dates. We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates. Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium. We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

We use mutual fund flows as a measure for individual investor sentiment for different stocks, and find that high sentiment predicts low future returns at long horizons. Fund flows are dumb money %uF818 by reallocating across different mutual funds, retail investors reduce their wealth in the long run. This dumb money effect is strongly related to the value effect. High sentiment also is associated high corporate issuance, interpretable as companies increasing the supply of shares in response to investor demand.

The Small World of Investing: Board Connections and Mutual Fund Returns

This paper uses social networks to identify information transfer in security markets. We focus on connections between mutual fund managers and corporate board members via shared education networks. We find that portfolio managers place larger bets on firms they are connected to through their network, and perform significantly better on these holdings relative to their non-connected holdings. A replicating portfolio of connected stocks outperforms a replicating portfolio of non-connected stocks by up to 8.4% per year. Returns are concentrated around corporate news announcements, consistent with mutual fund managers gaining an informational advantage through the education networks. Our results suggest that social networks may be an important mechanism for information flow into asset prices.

Betting Against Beta

We present a model in which some investors are prohibited from using leverage and other investors’ leverage is limited by margin requirements. The former investors bid up high-beta assets while the latter agents trade to profit from this, but must de-lever when they hit their margin constraints. We test the model’s predictions within U.S. equities, across 20 global equity markets, for Treasury bonds, corporate bonds, and futures. Consistent with the model, we find in each asset class that a betting-against-beta (BAB) factor which is long a leveraged portfolio of low-beta assets and short a portfolio of high-beta assets produces significant risk-adjusted returns. When funding constraints tighten, betas are compressed towards one, and the return of the BAB factor is low.

Hiring Cheerleaders: Board Appointments of "Independent" Directors

We provide evidence that firms appoint independent directors who are overly sympathetic to management, while still technically independent according to regulatory definitions. We explore a subset of independent directors for whom we have detailed, micro-level data on their views regarding the firm prior to being appointed to the board: sell-side analysts who are subsequently appointed to the board of companies they previously covered. We find that boards appoint overly optimistic analysts who are also poor relative performers. The magnitude of the optimistic bias is large: 82.0% of appointed recommendations are strong-buy/buy recommendations, compared to 56.9% for all other analyst recommendations. We find that appointed analysts’ optimism is stronger at precisely those times when firms’ benefits are larger, and that appointing firms increase earnings management, and perform poorly, following these board appointments.

Sell Side School Ties

We study the impact of social networks on agents’ ability to gather superior information about firms. Exploiting novel data on the educational backgrounds of sell side equity analysts and senior officers of firms, we test the hypothesis that analysts’ school ties to senior officers impart comparative information advantages in the production of analyst research. We find evidence that analysts outperform on their stock recommendations when they have an educational link to the company. A simple portfolio strategy of going long the buy recommendations with school ties and going short buy recommendations without ties earns returns of 5.40% per year. We test whether Regulation FD, targeted at impeding selective disclosure, constrained the use of direct access to senior management. We find a large effect: pre-Reg FD the return premium from school ties was 8.16% per year, while post-Reg FD the return premium is nearly zero and insignificant. In contrast, in an environment that did not change selective disclosure regulation (the UK), the analyst school-tie premium has remained large and significant over the entire sample period.

ICG fluorescence imaging in colorectal surgery: a snapshot from the ICRAL study group

Background: Fluorescence-guided visualization is a recently proposed technology in colorectal surgery. Possible uses include evaluating perfusion, navigating lymph nodes and searching for hepatic metastases and peritoneal spread. Despite the absence of high-level evidence, this technique has gained considerable popularity among colorectal surgeons due to its significant reliability, safety, ease of use and relatively low cost. However, the actual use of this technique in daily clinical practice has not been reported to date. Methods: This survey was conducted on April 2020 among 44 centers dealing with colorectal diseases and participating in the Italian ColoRectal Anastomotic Leakage (iCral) study group. Surgeons were approximately equally divided based on geographical criteria from multiple Italian regions, with a large proportion based in public (89.1%) and nonacademic (75.7%) centers. They were invited to answer an online survey to snapshot their current behaviors regarding the use of fluorescence-guided visualization in colorectal surgery. Questions regarding technological availability, indications and techniques, personal approaches and feelings were collected in a 23-item questionnaire. Results: Questionnaire replies were received from 37 institutions and partially answered by 8, as this latter group of centers do not implement fluorescence technology (21.6%). Out of the remaining 29 centers (78,4%), fluorescence is utilized in all laparoscopic colorectal resections by 72.4% of surgeons and only for selected cases by the remaining 27.6%, while 62.1% of respondents do not use fluorescence in open surgery (unless the perfusion is macroscopically uncertain with the naked eye, in which case 41.4% of them do). The survey also suggests that there is no agreement on dilution, dosing and timing, as many different practices are adopted based on personal judgment. Only approximately half of the surgeons reported a reduced leak rate with fluorescence perfusion assessment, but 65.5% of them strongly believe that this technique will become a minimum requirement for colorectal surgery in the future. Conclusion: The survey confirms that fluorescence is becoming a widely used technique in colorectal surgery. However, both the indications and methods still vary considerably; furthermore, the surgeons' perceptions of the results are insufficient to consider this technology essential. This survey emphasizes the need for further research to reach recommendations based on solid scientific evidence. Keywords: Colon cancer; Fluorescence guided surgery; ICG; Laparoscopy; Rectal cancer

How Active is Your Fund Manager? A New Measure That Predicts Performance

Abstract We introduce a new measure of active portfolio management, Active Share, which represents the share of portfolio holdings that di¤er from the benchmark index holdings. We compute Active Share for domestic equity mutual funds from 1980 to 2003. We relate Active Share to fund characteristics such as size, expenses, and turnover in the cross-section, and we also examine its evolution over time. Active Share predicts fund performance: funds with the highest Active Share signi…cantly outperform their benchmarks, both before and after expenses, and they exhibit strong performance persistence. Non-index funds with the lowest Active Share underperform their benchmarks. JEL classi…cation: G10, G14, G20, G2