Sorin M. Sorescu

Texas A&M University - Department of Finance

Associate Professor

430 Wehner

College Station, TX 77843-4218

United States

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

SCHOLARLY PAPERS

21

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CITATIONS
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137

Scholarly Papers (21)

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, Texas Tech University - Area of Finance, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,166 (16,936)
Citation 2

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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 - Department of Finance
Downloads 1,103 (18,075)
Citation 51

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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 - Department of Finance

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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 - Department of Finance

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3.

Short Sale Constraints, Differences of Opinion, and Overvaluation

Journal of Financial and Quantitative Analysis, Forthcoming
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 - Department of Finance
Downloads 1,049 (19,835)
Citation 124

Abstract:

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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 - Department of Finance
Downloads 986 (21,749)
Citation 38

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Idiosyncratic volatility, expected returns

5.

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 - Department of Finance
Downloads 943 (23,213)
Citation 3

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

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, Singapore Management University - Lee Kong Chian School of Business, Texas A&M University - Department of Finance and Texas A&M University - Department of Finance
Downloads 803 (29,197)
Citation 6

Abstract:

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

7.

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 - Department of Finance
Downloads 792 (29,756)
Citation 33

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Analysts, return reactions, stock recommendations

8.

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, Texas Tech University - Area of Finance, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 759 (31,577)
Citation 28

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Mutual funds, Hedge funds, Sock return anomalies

9.

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

EFA 0028
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 - Department of Finance
Downloads 722 (33,792)

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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 - Department of Finance
Downloads 588 (44,510)
Citation 9

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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 - Department of Finance
Downloads 532 (49,943)
Citation 57

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

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 - Department of Finance
Downloads 497 (54,399)
Citation 13

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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 - Department of Finance

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foreign exchange risk, stock returns, asset pricing

13.

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 - Department of Finance
Downloads 267 (112,744)

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Estimation-risk; Information quality; Conditional CAPM

14.

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, Texas Tech University - Area of Finance, Texas A&M University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 231 (130,714)

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

15.

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 - Department of Finance
Downloads 222 (135,863)

Abstract:

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

16.

Diversification and Financialization in Commodity Markets: Evidence from Commodity Trading Advisors

Number of pages: 55 Posted: 02 Jan 2019
Yong Chen, Wenting Dai and Sorin M. Sorescu
Texas A&M University - Department of Finance, Texas A&M University - Mays Business School and Texas A&M University - Department of Finance
Downloads 40 (419,105)

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commodity futures, financialization, commodity trading advisor, diversification, asset allocation

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 - Department of Finance, 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 - Department of Finance, Wichita State University - Department of Finance, Real Estate & Decision Sciences (FREDS) and North Carolina State University - Poole College of Management

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D83, D92, E22

18.

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

Journal of Finance, Vol. 57, pp. 871-900, 2002
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 - Department of Finance

Abstract:

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Long-term event studies, market efficiency, dividend policy

19.

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

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 27 Aug 2001
Bartley R. Danielsen and Sorin M. Sorescu
North Carolina State University - Poole College of Management and Texas A&M University - Department of Finance

Abstract:

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

20.

The Price Effect of Option Introductions: 1973-1992

Posted: 08 Jan 1997
Sorin M. Sorescu
Texas A&M University - Department of Finance

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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 - Department of Finance

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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 - Department of Finance

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