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Abstract:
This study tests the hypothesis that non-domestic cross-listing is associated with increased firm visibility. We examine visibility changes on the two exchanges with the largest number of non-domestic listings: the London Stock Exchange (LSE) and the New York Stock Exchange (NYSE). Noting that the costs associated with NYSE listing are greater than those for LSE listing, we also test the hypothesis that non-domestic cross-listing on the NYSE is associated with larger visibility increases than LSE listing. Our proxies for visibility are analyst coverage and media attention. Our tests using analyst coverage generally support our hypothesis that non-domestic cross-listing increases visibility, while tests using media attention provide partial support of the hypothesis. Further empirical tests support the hypothesis that non-domestic cross-listing on the NYSE is associated with a larger visibility increase than on the LSE, which partially compensates firms for the higher costs associated with NYSE listing. All of our results are robust to conditioning on the firm's home country capital market type (developed or emerging); the country's geographical region; analysts' tendencies to initiate coverage on firms with good prospects; and the popularity of a firm's industry or country.

Abstract:
This paper documents the emergence of economically targeted investments (ETIs) and social investments on pension funds. We find that these dual purpose investments are usually concessionary and reduce portfolio investment return. When fiduciary standards are weakened, public pension fund assets become easily abused by political objectives. Pension beneficiaries suffer by reduced investment returns, increased underfunding, and unfriendly actuarial assumptions. We also review the recommendations and policy implications of the Department of Labor's Work Group on Economically Targeted Investments. This Work Group is trying to allow, even encourage, private pension funds to invest in ETIs.

Abstract:
Using brokerage account data from China, we study investment decision making in an emerging market. We find that Chinese investors make poor trading decisions: the stocks they purchase underperform those they sell. We also find that Chinese investors suffer from three behavioral biases: (i) they tend to sell stocks that have appreciated in price, but not those that have depreciated in price, consistent with a disposition effect, acknowledging gains but not losses; (ii) they seem overconfident; and (iii) they appear to believe that past returns are indicative of future returns (a representativeness bias). In comparisons to prior findings, Chinese investors seem more overconfident than U.S. investors (i.e., the Chinese hold fewer stocks, yet trade very often) and their disposition effect appears stronger. Finally, we categorize Chinese investors based on proxy measures of experience and find that "experienced" investors are not always less prone to behavioral biases than are "inexperienced" ones.

Disposition effect, Investor behavior, Overconfidence, Representativeness bias

Abstract:
In this paper, we examine the impact of scheduled macroeconomic news announcements on both OEX index options and individual equity option volume. We do this in order to study the way in which investors use these options in their portfolios. We find that announcements are associated with an increase in OEX option volume but not in the volume of individual equity options. Consumer Confidence and New Home Sales elicit the highest trading response. Our primary findings are evidence of informed trading in the OEX option market before the announcement as well as significant evidence of hedging activity. These findings indicate that investors use index options to increase the leverage of their portfolios when they have private information and to protect themselves against adverse information when they do not.

Abstract:
We examine the relation between minority shareholder protection laws, ownership concentration, and board independence. Minority shareholder rights is a country-level governance variable. Ownership structure and board composition represent firm-level governance variables. Prior research hypothesizes anddocuments a negative relation between countries' minority shareholder rights quality and firms' ownership concentration. We introduce the hypothesis that shareholder protection rights and firms' board independence are positively related. When a country's minority shareholder rights are strong, thenminority shareholders should have the legal power to affect board composition. Using a sample of large firms from 14 European countries, we test both hypotheses and find that countries with stronger shareholder protection rights have firms with lower ownership concentrations and with more independent directors, consistent with both hypotheses. We also find evidence that ownership concentration and board independence are negatively related.

Large shareholders, Board independence, Shareholder laws, Europe

Abstract:
Using a comprehensive sample of 2002 and 2005 U.S. public retirement systems, we found that public pension plan underfunding grew dramatically in these years despite a good economy, increasing state tax revenues, and strong stock market returns on average, plans were only 83% funded. Teacher plans and plans with the most retirees were more underfunded. We found no significant differences related to asset allocations or actuarial assumptions about inflation and rate of return. A primary factor associated with significantly lower underfunding was more female active participants in the plan, suggesting another risk to women's retirement income.

Abstract:
The recent retirement plan debacle of the Enron employees has caused regulators and lawmakers to think about new ways to protect and help retirement plan participants. When investigating participant investment decisions, researchers have traditionally studied the retirement plan characteristics and employee characteristics. More recently, some researchers have extended the analysis to social influences, such as social norms and peer affects. Others have expanded into behavioral finance and examined the role of various psychological biases. This paper combines and summarizes these four sets of influences so that researchers and policy makers can better understand all the influences affecting an employee when making retirement plan contribution and investment decisions.

401(k), behavioral finance, pension, retirement decision-making, social influences

Abstract:
Proponents claim that economically targeted investments (ETIs) can earn a prevailing risk-adjusted rate of return while also providing an additional economic benefit to the plan participants. This paper discusses the fallacies in the reasoning behind ETIs. In short, the structure that would make ETIs acceptable under the fiduciary standards of ERISA may also create a lemons problem which makes ETIs poor investments, on average. An agency problem derived from the organizational structure of public pension plans can exacerbate the lemons problem. This paper's empirical evidence is consistent with this hypothesis. I find that the risk-adjusted portfolio returns associated with funds using ETIs are low.

Abstract:
This paper reports evidence that the standard deviation of stock returns exhibits seasonal patterns. The seasonal patterns are considerably different between portfolios of different market value of equity stocks. January and August are the two most volatile months for the small decile portfolio while April and November are most volatile for the largest decile portfolio. Return variance anomalies have been modeled using different variations of the general autoregressive conditional heteroskedasticity (GARCH) model. We compare two methods to account for the seasonal differences in volatility between size portfolios in conditional heteroskedastic models. The first alternative specifies one month, one quarter and one year variance lags. The second alternative uses selected monthly dummy variables in the variance structure. Of the models tested, our results suggest that the best overall model is the EGARCH(1,1)-m with seasonal dummies. The GARCH-m model with seasonal lags performs well for portfolios of large market capitalization stocks. However, none of the models were able to account for the seasonality in volatility for large stocks and the models with variance lags failed to account for the seasonality for small stocks.

Abstract:
We model the seasonal volatility of stock returns using GARCH specifications and size-sorted portfolios. Estimation results indicate that there are volatility differences between months of the year and that these seasonal volatility patterns are conditional on firm size. Additionally, we find that seasonal volatility does not explain seasonal returns when the reward for risk is held constant over the sample period. Specifically, our results indicate that much of the abnormal return in January for small firms cannot be entirely attributed to either higher systematic risk or a higher premium in January.