Sorin M. Sorescu

Texas A&M University

Associate Professor

Mays Business School

College Station, TX 77843

United States

http://wehner.tamu.edu/finc.www/ssorescu/

Adam C. Sinn `00 Department of Finance

Professor

4218 TAMU

College Station, TX Texas 77843-4218

United States

http://mays.tamu.edu/directory/ssorescu/

SCHOLARLY PAPERS

22

DOWNLOADS

13,192

SSRN CITATIONS

177

CROSSREF CITATIONS

147

Scholarly Papers (22)

1.

Capital Market Efficiency and Arbitrage Efficacy

AFA 2013 San Diego Meetings Paper, Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 15 Mar 2012 Last Revised: 20 Mar 2015
University of Illinois at Chicago - College of Business Administration, Texas Tech University - Area of Finance, Texas A&M University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,317 (28,516)
Citation 4

Abstract:

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cross-section of stock returns; limits to arbitrage; market efficiency; anomalies; funding constraints; fund flows; mutual funds

A Reexamination of Corporate Governance and Equity Prices

AFA 2007 Chicago Meetings Paper
Number of pages: 78 Posted: 22 Mar 2005 Last Revised: 18 Oct 2011
Shane A. Johnson, Theodore C. Moorman and Sorin M. Sorescu
Texas A&M University - Department of Finance, affiliation not provided to SSRN and Texas A&M University
Downloads 1,203 (32,048)
Citation 10

Abstract:

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corporate governance, stock returns, industry, simulation, market efficiency

A Reexamination of Corporate Governance and Equity Prices

Review of Financial Studies, Forthcoming
Posted: 07 Nov 2008
Shane A. Johnson, Theodore C. Moorman and Sorin M. Sorescu
Texas A&M University - Department of Finance, affiliation not provided to SSRN and Texas A&M University

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Governance, stock returns, asset pricing, event studies, market efficiency, clustering

A Reexamination of Corporate Governance and Equity Prices

The Review of Financial Studies, Vol. 22, Issue 11, pp. 4753-4786, 2009
Posted: 08 Dec 2009
Shane A. Johnson, Theodore C. Moorman and Sorin M. Sorescu
Texas A&M University - Department of Finance, affiliation not provided to SSRN and Texas A&M University

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3.

Short Sale Constraints, Differences of Opinion, and Overvaluation

Number of pages: 51 Posted: 10 Apr 2005
Rodney D Boehme, Bartley R. Danielsen and Sorin M. Sorescu
Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS), North Carolina State University - Poole College of Management and Texas A&M University
Downloads 1,178 (33,573)
Citation 21

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Short Sale Constraints, Asset Pricing

4.

Idiosyncratic Risk and the Cross-Section of Stock Returns: Merton (1987) Meets Miller (1977)

Number of pages: 43 Posted: 18 Mar 2005
Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS), University of Houston - Department of Finance, North Carolina State University - Poole College of Management and Texas A&M University
Downloads 1,111 (36,475)
Citation 16

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Idiosyncratic volatility, expected returns

5.

Smart Money, Dumb Money, and Capital Market Anomalies

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 75 Posted: 16 Mar 2014 Last Revised: 20 Mar 2015
University of Illinois at Chicago - College of Business Administration, Texas Tech University - Area of Finance, Texas A&M University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,082 (37,894)
Citation 71

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Mutual funds, Hedge funds, Sock return anomalies

6.

Short Interest, Returns, and Fundamentals

Number of pages: 51 Posted: 13 Feb 2013 Last Revised: 18 Sep 2013
Ferhat Akbas, Ekkehart Boehmer, Bilal Erturk and Sorin M. Sorescu
University of Illinois at Chicago - College of Business Administration, Singapore Management University - Lee Kong Chian School of Business, Texas A&M University - Department of Finance and Texas A&M University
Downloads 1,082 (37,894)
Citation 6

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Short interest, fundamental information, cross-section of stock returns

7.

Mispricing Following Public News: Overreaction for Losers, Underreaction for Winners

Number of pages: 44 Posted: 25 Mar 2008
Ferhat Akbas, Emre Kocatulum and Sorin M. Sorescu
affiliation not provided to SSRN, Massachusetts Institute of Technology Department of Economics and Texas A&M University
Downloads 1,022 (41,086)
Citation 5

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Momentum, reversion, cognitive biases, market efficiency, anomalies, overreaction, underreacton, overconfidence, cognitive dissonance

8.

The Cross-Section of Analyst Recommendations

Number of pages: 39 Posted: 15 Sep 2004
Avanidhar Subrahmanyam and Sorin M. Sorescu
University of California, Los Angeles (UCLA) - Finance Area and Texas A&M University
Downloads 888 (50,003)
Citation 21

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Analysts, return reactions, stock recommendations

9.

Seven Decades of Long Term Abnormal Return Persistence: The Case of Dividend Initiations and Resumptions

Number of pages: 53 Posted: 21 Feb 2000
Rodney D Boehme and Sorin M. Sorescu
Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS) and Texas A&M University
Downloads 801 (57,480)
Citation 1

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10.

Why Do Option Introductions Depress Stock Prices? An Empirical Study of Diminishing Short-Sale Constraints

DePaul University Working Paper
Number of pages: 46 Posted: 09 May 2000
Bartley R. Danielsen and Sorin M. Sorescu
North Carolina State University - Poole College of Management and Texas A&M University
Downloads 642 (76,722)
Citation 6

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Foreign Exchange Risk and the Cross-Section of Stock Returns

Number of pages: 47 Posted: 24 Mar 2005
James W. Kolari, Theodore C. Moorman and Sorin M. Sorescu
Texas A&M University - Department of Finance, affiliation not provided to SSRN and Texas A&M University
Downloads 611 (80,758)
Citation 2

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Foreign exchange risk, stock returns, asset pricing

Foreign Exchange Risk and the Cross-Section of Stock Returns

Journal of International Money and Finance, Volume 27, Issue 7, November 2008, Pages 1074-1097.
Posted: 13 Jul 2007 Last Revised: 16 Sep 2014
James W. Kolari, Theodore C. Moorman and Sorin M. Sorescu
Texas A&M University - Department of Finance, affiliation not provided to SSRN and Texas A&M University

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foreign exchange risk, stock returns, asset pricing

The Information Content of Bank Exam Ratings and Subordinated Debt Prices

Number of pages: 32 Posted: 15 Jan 2001
University of Kansas School of Business, University of Florida - Department of Finance, Insurance and Real Estate, Promontory Financial Group and Texas A&M University
Downloads 573 (87,463)
Citation 6

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Commercial banks, bank exam ratings, subordinated debt, market efficiency

13.

Partial Effects of Fed Tightening on U.S. Banks’ Capital

Number of pages: 50 Posted: 26 Apr 2023
Mark J. Flannery and Sorin M. Sorescu
University of Florida - Department of Finance, Insurance and Real Estate and Texas A&M University
Downloads 548 (93,645)

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Bank Stability, Interest Rate Risk, Capital Impairments, Regulation

14.

A Hiding Place? Diversification, Financialization, and Return Comovement in Commodity Markets

Number of pages: 46 Posted: 02 Jan 2019 Last Revised: 18 Mar 2022
Yong Chen, Wenting Dai and Sorin M. Sorescu
Texas A&M University - Department of Finance, Nankai University - School of Finance and Texas A&M University
Downloads 308 (181,220)
Citation 2

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Commodity financialization, diversification, investor flows, return comovement

15.

Asset Pricing with Estimation-Risk and Uncertain Information Quality

Number of pages: 40 Posted: 29 Apr 2005
Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS), University of Houston - Department of Finance, North Carolina State University - Poole College of Management and Texas A&M University
Downloads 303 (184,414)
Citation 1

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Estimation-risk; Information quality; Conditional CAPM

16.

Funding Constraints and Market Efficiency

Mays Business School Research Paper No. 2012-75
Number of pages: 51 Posted: 30 Nov 2010 Last Revised: 23 Oct 2012
University of Illinois at Chicago - College of Business Administration, Texas Tech University - Area of Finance, Texas A&M University and University of California, Los Angeles (UCLA) - Finance Area
Downloads 269 (208,482)

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market efficiency, anomalies, arbitrage, funding constraints, momentum, reversal, value, profitability

17.

A Reexamination of Corporate Governance and Equity Prices with Updated and Supplemental Results

Review of Financial Studies, Forthcoming
Number of pages: 78 Posted: 15 Sep 2009 Last Revised: 18 Oct 2011
Shane A. Johnson, Theodore C. Moorman and Sorin M. Sorescu
Texas A&M University - Department of Finance, affiliation not provided to SSRN and Texas A&M University
Downloads 254 (220,690)

Abstract:

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corporate governance, stock returns, industry, simulation, market efficiency

Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence

Review of Financial Studies, Forthcoming
Posted: 11 Feb 2007
University of Houston - Department of Finance, Texas A&M University, Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS) and North Carolina State University - Poole College of Management

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Estimation risk, Information quality, Conditional CAPM, Risk factors, Dividend initiations

Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence

The Review of Financial Studies, Vol. 21, Issue 3, pp. 1037-1075, 2008
Posted: 02 Jul 2008
University of Houston - Department of Finance, Texas A&M University, Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS) and North Carolina State University - Poole College of Management

Abstract:

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D83, D92, E22

19.

The Long-Run Performance Following Dividend Initiations and Resumptions: Underreaction or Product of Chance?

Posted: 30 Aug 2001
Rodney D Boehme and Sorin M. Sorescu
Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS) and Texas A&M University

Abstract:

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Long-term event studies, market efficiency, dividend policy

20.

Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short-Sale Constraints

Posted: 27 Aug 2001
Bartley R. Danielsen and Sorin M. Sorescu
North Carolina State University - Poole College of Management and Texas A&M University

Abstract:

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Options, short-sales, effect of options on stock prices

21.

The Price Effect of Option Introductions: 1973-1992

Posted: 08 Jan 1997
Sorin M. Sorescu
Texas A&M University

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Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983-1991

J. OF FINANCE, Vol. 51 No. 4, September 1996
Posted: 18 Jun 1996
Mark J. Flannery and Sorin M. Sorescu
University of Florida - Department of Finance, Insurance and Real Estate and Texas A&M University

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Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983-1991

Posted: 17 May 1995
Mark J. Flannery and Sorin M. Sorescu
University of Florida - Department of Finance, Insurance and Real Estate and Texas A&M University

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