AFA Ph.D. Student Poster Session at the 2020 Annual Meeting(20)

Do firm-initiated Twitter messages (tweets) contain relevant information? Do they reduce investors’ information processing costs? After constructing a novel and comprehensive dataset of over 7 million tweets posted by S&P 1500 firms, I adopt text analysis methods and find that firms with negative earnings surprises have higher announcement returns if they tweet about earnings news. This result is stronger for firms with a larger social media network and for firms with lower levels of institutional ownership. I also find evidence that firm-initiated tweets increase the speed of information diffusion to investors.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=219

This paper uses account-level transaction data in Korea’s index options and futures to examine option trading skills by different types of investors. We first investigate how common option trading strategies are used. We find that (i) retail investors, both domestic and foreign, are more likely to hold naked option positions, while institutional investors are more likely to use complicated strategies; (ii) volatility trading is used more often than the other classic options strategies; (iii) a small number of accounts, both institutional and retail, generate large volumes of trades using sophisticated and well hedged positions. Then we examine the association between trading strategies and account performance. Our results show that (i) foreign investors are similar to domestic investors; (ii) for both retail and institutional investors, those using volatility and sophisticated strategies outperform their peers, and those using naked options underperform; (iii) volatility traders mainly gain from selling volatilities although subject to large downside risk. Our findings suggest that skilled options traders use volatility and complicated strategies, but informational advantage and country domicile are less important.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=220

Implementing a regression discontinuity design as an identification strategy to help mitigate endogeneity concerns, this study examines how employee opinion of chief executive officers’ (CEO) affects firm outcomes. The paper produces several key results and is the first to empirically test the seminal theory of Jensen and Meckling (1976) using a unique dataset that matches a company’s financials, CEO, and CEO employee approval for 2013 to 2018. First, the news of a company making Glassdoor’s "Top CEOs Employees’ Choice" award list results in a negative one percent cumulative abnormal stock return corresponding to an average market value loss of 900 million dollars. Second, an ex-ante tradable portfolio strategy that holds companies on the top CEO list generates annual excess stock returns around four percent. Third, using panel regressions and a fuzzy regression discontinuity design at the CEO list threshold, top ranking CEOs cause increases in Tobin’s Q. Fourth, award list inclusion for a CEO implies increases in personal salary and decreases in turnover. The economic mechanisms that these findings operate through are changes in operational expenses and firm efficiency as theory suggests. The findings in this study are the first to establish a causal link between CEO employee approval and firm outcomes, which confirms the hypothesis that exceptional CEO employee relations are not valued by the market as an intangible, are costly in current market values, develop firm value over time, and supply CEOs personal benefits.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=229