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Sophisticated Investors and Market Efficiency: Evidence from a Natural Experiment. (2018). Chen, Yong ; Wu, Wei ; Kelly, Bryan.
In: NBER Working Papers.
RePEc:nbr:nberwo:24552.

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    RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000519.

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  2. Stock Markets Assessment of Monetary Policy Transmission: The Cash Flow Effect. (2019). Lee, Sang Seok ; Gürkaynak, Refet ; Can, Gokce Karasoy ; Gurkaynak, Refet S.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14017.

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  63. Table 12 Price Informativeness Measure This table evaluates market efficiency using the price informativeness measure of Bai, Philippon, and Savov (2016). Columns (1)–(2) examine changes in price informativeness after the reductions of analyst coverage. Columns (3)–(4) examine the impacts of hedge fund participation on price informativeness. Ei,t+1 /Ai,t is the ratio between EBIT of firm i at year t+1 and total asset at year t. log(Mi,t /Ai,t) is the natural log of the ratio between market capitalization and total asset. Treat is a dummy variable that equals one for observations from treated firms. Post is a dummy variable that equals one for observations after coverage reductions. D(HF++ ) is a dummy variable that equals one if the abnormal aggregate hedge fund holdings in a given year are in the top quartile of the abnormal hedge fund holdings of that year.
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  64. The regression is performed separately for each state. This figure plots the quintiles of the state-level difference-indifferences coefficients. The dependent variable in the difference-in-differences regressions is the natural log of monthly EDGAR Internet search volume (ESV) for insider filings (Forms 3, 4, and 5) of firm i in month t. The panel data used for the difference-in-differences regressions cover monthly EDGAR Internet search volume for the treated firms and the matched control firms two years before and after the reductions of analyst coverage. Control variables include LnSize, LnBEME, and LnLev, which are defined in Table 1, as well as Ret2mPrior which is the two-month cumulative raw returns (in percent) prior to each month. The treated firms are limited to firms that have five or fewer analysts covering the firm before coverage reductions. The sample period is from February 2003 to December 2010. Q5 Q4 Q3 Q2 Q1
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  50. Inferring Reporting-Related Biases in Hedge Fund Databases from Hedge Fund Equity Holdings. (2013). Agarwal, Vikas ; Jiang, Wei ; Fos, Vyacheslav.
    In: Management Science.
    RePEc:inm:ormnsc:v:59:y:2013:i:6:p:1271-1289.

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