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本文就市場對於經濟關聯公司的新聞所出現延遲價格反應提出了一個基於心理學的新解釋。我們發現經濟關聯公司的股價收益預測，取決於其目前股價與52週最高股價之間有多接近。經濟關聯公司的新聞與公司股價是否接近其52週高位，部份解釋了為何市場對於消費者、地理鄰居、同業或外國行業的新聞反應較為遲緩。研究亦發現股票分析師會因公司股價接近52週高位，亦對關經濟關聯公司的新聞產生了延遲反應。這些發現直接證明瞭公司股價接近52週高位對於投資者信念更新過程的影響。
我們研究美國散戶投資者如何通过社交傳播財經新聞和投资意見。我們首先找出一系列会导致某些投资者进行异常交易的外生事件。基于这些事件，我們追踪投资者的交易行为，尤其是被这些事件影響投資者的鄰居。这样样本选择有利于我们研究投资行为在左鄰右舍之間的「傳染性」。結合流行病學的方法，此研究的情景設置讓我們可以估算傳訊速率，以及它如何隨著潛在投資者群體的特徵而變化。
有聲音批評傳統的ETF過於被動，未能有效反應市場訊息，然而港大經管學院金融學副教授黃詩楊博士及其研究團隊卻發現，行業ETF在美國市場中能有效規避風險，並能提升市場效率。
香港大學金融學副教授黃詩楊聯同多名教授發表研究報告，建議監管機構應鼓勵金融機構發行更多行業ETF(交易所買賣基金)，藉以為金融市場和投資者帶來更多金融創新。
We investigate the effect of pre-IPO investments by public market institutional investors (institutions) on the exit of venture capitalists (VCs). Results indicate that institutions’ pre-IPO investments reduce IPO underpricing by mitigating VCs’ reliance on all-star analysts to boost market liquidity. We conclude that institutions facilitate VC exits in the secondary market. Supporting this view, our analysis reveals that the presence of institutions allows VCs to exit with a reduced price impact in the secondary market. Consistent with the ease of exit, VCs offer fewer shares at the IPO and are more likely to invest in institutionally backed startups.
What could be the result if some compelling opportunities, like lottery jackpots, were potentially lucrative enough to distract the investors' attention from monitoring the stock market?
We empirically examine the impact of industry exchange-traded funds (IETFs) on informed trading and market efficiency. We find that IETF short interest spikes simultaneously with hedge fund holdings on the member stock before positive earnings surprises, reflecting long-the-stock/short-the-ETF activity. This pattern is stronger among stocks with high industry risk exposure. A difference-in-difference analysis on the ETF inception event shows that IETFs reduce post-earnings-announcement drift more among stocks with high industry risk exposure, suggesting that IETFs improve market efficiency. We also find that the short interest ratio of IETFs positively predicts IETF returns, consistent with the hedging role of IETFs.
The concept of smart beta has a lot of data to draw on. Many so-called factors such as value, size, low volatility and momentum appear to have delivered decades of positive risk-adjusted returns, on average, for investors.
