Showing papers by "Wei Jiang published in 2003"
TL;DR: The authors empirically examined the effect of price informativeness on the sensitivity of investment to stock price and found that price non-synchronicity and PIN measures are correlated with sensitivity to stock prices.
Abstract: Stock prices and real investments are highly correlated. Previous literature has offered two main explanations for this high correlation. The first explanation relies on price being informative about investment opportunities, the second one is based on financing constraints. In this paper we empirically examine the effect of price informativeness on the sensitivity of investment to stock price. Using price non-synchronicity and PIN as measures of price informativeness, we find that the degree of informativeness is positively correlated with the sensitivity of investment to stock price. Since, according to previous literature, these measures reflect private information, the result suggests that prices perform an active role, i.e., that managers learn from stock price when making investment decisions. This result is robust to the inclusion of various control variables (such as controls for managerial information) and to changes in specification.
725 citations
01 Jan 2003
TL;DR: Mitchell et al. as mentioned in this paper published a paper in Pension Design and Structure: New Lessons from Behavioral Finance (forthcoming), which is a collection of working papers from the Pension Research Council Working Papers.
Abstract: Pension Research Council Working Papers are intended to make research findings available to other researchers in preliminary form, to encourage discussion and suggestions for revision before final publication. Opinions are solely those of the authors. This paper is to appear in Pension Design and Structure: New Lessons from Behavioral Finance (forthcoming). Edited by Olivia S. Mitchell and Stephen P. Utkus. Oxford: Oxford University Press.
478 citations
TL;DR: The authors proposed a nonparametric test for market timing ability and applied the analysis to a large sample of mutual funds that have different benchmark indices, and found that the test statistic is formed to proxy the probability that a manager loads on more market risk when the market return is relatively high.
115 citations
TL;DR: This article examined the relevance of competing explanations for the deviations of analysts' actual weighting from their efficient weighting (i.e., the optimal statistical weights on available information to form rational expectations about the underlying earnings).
Abstract: This paper provides empirical evidence on factors affecting analysts' weighting of private and public information when they forecast firm earnings. We examine the relevance of competing explanations for the deviations of analysts' actual weighting from their efficient weighting (i.e., the optimal statistical weights on available information to form rational expectations about the underlying earnings). We find strong evidence supporting the strategic mis-weighting hypothesis (which attributes deviations from efficient weighting to analysts' rational and optimal response to economic incentives). We find weak evidence supporting the information externality hypothesis (which posits that analysts are rational but lack knowledge about the information underlying other analysts' forecasts). We find little evidence supporting the unintentional mistake hypothesis (which posits that mis-weighting is due to analysts' behavioral biases).
45 citations
TL;DR: In this article, the authors studied 793, 794 employees eligible to participate in 647 defined contribution pension plans and found that about 71% of them choose to participate, and 12% choose to contribute the maximum allowed, $10,500.
Abstract: Records of 793, 794 employees eligible to participate in 647 defined contribution pension plans are studied. About 71% of them choose to participate in the plans, and of the participants, 12% choose to contribute the maximum allowed, $10,500. The main findings are (other things equal) (i) participation rates, contributions and (most remarkably) savings rates increase with compensation; on average, a $10,000 increase in compensation is associated with a 3.7% higher participation probability and $900 higher contribution; (ii) women's participation probability is 6.5% higher than men's and they contribute almost $500 more than men; (iii) participation probabilities are similar for employees covered and not covered by DB plans, but those covered by DB plans contribute more to the DC plans; (iv) the availability of a match by the employer increases employees' participation and contributions; the effect is strongest for low-income employees; (v) participation rates, especially among low-income employees, are higher when company stock is an investable fund.
25 citations
TL;DR: In this paper, the authors show that market reactions to analysts' forecasts of quarterly earnings are increasing in the product of the accuracy and length of analysts' track records, and that the dynamic learning predicted by their model is more descriptive of market reaction to analyst's forecasts than a static model which predicts that investors' responses to forecast revisions condition only on the prior accuracy of the analyst.
Abstract: Bayesian learning implies decreasing weights on prior beliefs and increasing weights on track records, as the latter become more precise. We test whether investors learn about analyst predictive ability in this manner by examining market reactions to analysts' forecasts. Consistent with investors shifting weight to track records, we find that market reactions to analysts' forecasts of quarterly earnings are increasing in the product of the accuracy and length of analysts' track records. Moreover, we show that the dynamic learning predicted by our model is more descriptive of market reactions to analysts' forecasts than a static model which predicts that investors' responses to forecast revisions condition only on the prior accuracy of the analyst.
13 citations