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Informed Options Trading Prior to Takeover Announcements: Insider Trading?

Authors: Patrick Augustin, Menachem Brenner, Marti G. Subrahmanyam

Publication: Management Science, Forthcoming

Abstract:

We quantify the pervasiveness of informed trading activity in target companies' equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for short-dated out-of-the-money calls, consistent with bullish directional trading before the announcement. Over half of this abnormal activity is unlikely due to speculation, news and rumors, trading by corporate insiders, leakage in the stock market, deal predictability, or beneficial ownership filings by activist investors. We also examine the characteristics of option trades litigated by the SEC for alleged illegal insider trading. While the characteristics of such trades closely resemble the patterns of abnormal option volume in the U.S. takeover sample, we find that the SEC litigates only about 8% of all deals in it.

Published: 24 May 2018

Inspiration from the 'Biggest Loser': Social Interactions in a Weight Loss Program

Authors: Kosuke Uetake, Nathan Yang 

Publication: Marketing Science, Forthcoming

Abstract: 

We investigate the role of heterogeneous peer effects in encouraging healthy lifestyles. Our analysis revolves around one of the largest and most extensive databases about weight loss that track individual participants' meeting attendance and progress in a large national weight loss program. The main finding is that while weight loss among average performing peers has a negative effect on an individual's weight loss, the corresponding effect for the top performer among peers is positive. Furthermore, we demonstrate that our results are robust to potential issues related to selection into meetings, endogenous peer outcomes, individual unobserved heterogeneity, lagged dependent variables, and contextual effects. Ultimately, these results provide guidance about how the weight loss program should identify role models.

Published: 4 May 2018

A Large-Scale Approach for Evaluating Asset Pricing Models

Author: Laurent Barras

Publication: Journal of Financial Economics, Forthcoming

Abstract:

Recent studies show that the standard test portfolios do not contain sufficient information to discriminate between asset pricing models. To address this issue, we develop a large-scale approach that expands the cross-section to several thousand portfolios. Our novel approach is simple, widely applicable, and allows for formal evaluation/comparison tests. Its benefits are confirmed in empirical tests of CAPM- and characteristic-based models. While these models are all misspecified, we uncover striking performance differences between them. In particular, the human capital and conditional CAPMs largely outperform the CAPM which suggests that labor income and time-varying recession risks are primary concerns for investors.

Published: 1 May 2018

CSR types and the moderating role of corporate competence

Authors: Xiaoye Chen, Rong Huang, Zhiyong Yang, Laurette Dube

Publication: European Journal of Marketing, Forthcoming

Abstract: 

Purpose

Published: 26 Apr 2018

Addressing Complex Societal Problems: Enabling Multiple Dimensions of Proximity to Sustain Partnerships for Collective Impact in Quebec

Authors: Nii Addy and Laurette Dubé

Publication: Sustainability, Vol. 10, No. 4, April 2018

Abstract:

Published: 12 Apr 2018

The Term Structure of CDS Spreads and Sovereign Credit Risk

Author: Patrick Augustin

Publication: Journal of Monetary Economics, Forthcoming

Abstract: 

Published: 6 Apr 2018

Discounted: The effect of founder race on the price of new products

Authors: Peter Younkin, Venkat Kuppuswamy

Publication: Journal of Business Venturing, Forthcoming

Abstract: 

Published: 3 Apr 2018

Internationalization pattern of creative-cultural events: Two cases from Canada

Authors: Hamid Etemad, Hamed Motaghi

Publication: International Business Review, March 16, 2018

Abstract:

Published: 3 Apr 2018

How do callings relate to job performance? The role of organizational commitment and ideological contract fulfillment

Authors: Sung Soo Kim, Donghoon Shin, Heather C Vough, Patricia Faison Hewlin and Christian Vandenberghe

Publication: Human Relations, Vol. 71, Issue 10, February 2018

Abstract:

Published: 29 Mar 2018

Ruslan Goyenko paper "Illiquidity Premia in Equity Option Markets" selected Editor's Choice in Review of Financial Studies

Professor Ruslan Goyenko's paper "Illiquidity Premia in Equity Option Markets" with Peter Christoffersen, Kris Jacobs and Mehdi Karoui was selected as Editor's Choice article in the March 2018 issue of Review of Financial Studies.

Published: 29 Mar 2018

Shared Mobility for Last-Mile Delivery: Design, Operational Prescriptions and Environmental Impact

Authors: Wei Qi, Lefei Li, Sheng Liu, Zuo-Jun Max Shen

Publication: Manufacturing & Service Operations Management, Vol. 20, No. 4, Fall 2018

Abstract:

Published: 29 Mar 2018

On international migration: A review essay

Authors: Anthony C. Masi

Publication: Canadian Studies in Population, Vol. 44, No. 3-4, 2017

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Published: 29 Mar 2018

Asset Pricing with Countercyclical Household Consumption Risk

Authors: George M. Constantinides and Anisha Ghosh

Publication: Journal of Finance, Vol. 72, No. 1, February 2017

Abstract:

We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model fits well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.

Read article: Journal of Finance

Published: 29 Mar 2018

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