|
Samuel M Hartzmark |
|
|
University of Southern California Marshall School of Business |
PhD Candidate Finance and Business Economics |
|
|
ReSearch Interests Empirical Asset Pricing Behavioral Finance Dividends Economic Uncertainty Prediction Markets
Interest Rates
|
|
|
Publications: With David Solomon Journal of Financial Economics, Forthcoming Abstract: We document an asset-pricing
anomaly whereby companies have positive abnormal returns in months when a
dividend is predicted. Abnormal returns in predicted dividend months are high
relative to other companies, and relative to dividend-paying companies in
months without a predicted dividend, making risk-based explanations unlikely.
The anomaly is as large as the value premium, but less volatile. The premium is consistent with price
pressure from dividend-seeking investors. Measures of liquidity and demand
for dividends are associated with larger price increases in the period before
the ex-day (when there is no news about the dividend), and larger reversals
afterwards. Efficiency and the Disposition Effect in NFL Prediction Markets With David Solomon Quarterly Journal of Finance, 2012, 2(3), 1250013. Abstract: Examining NFL betting
contracts at Tradesports.com, we find mispricing consistent with the
disposition effect, where investors are more likely to close out profitable
positions than losing positions. Prices are too low when teams are ahead and
too high when teams are behind. Returns following news events exhibit
short-term reversals and longer-term momentum. These results do not appear
driven by liquidity or non-financial reasons for trade. Finding the
disposition effect in a negative expected return gambling market questions
standard explanations for the effect (belief in mean reversion, prospect
theory). It is consistent with cognitive dissonance, and models with
time-inconsistent behavior. Working Papers: COMING SOON: Economic Uncertainty and Interest Rates Abstract: Simple models imply a
relation between the short-term interest rate, expected economic growth and
the uncertainty of growth. I document a robust, economically and
statistically significant inverse relation between interest rates and
uncertainty, defined as the volatility of economic growth. Expected growth
bears virtually no empirical relation to interest rates. This relation holds
for over 140 years of data, various measures of growth and uncertainty, and
after controlling for persistent regressors and inflation risk. These results
yield further understanding of a fundamental economic variable and imply that
analyses including the interest rate without accounting for uncertainty may
be seriously incomplete. Rank Dependent Trade Juicing the Dividend Yield: Mutual Funds
and the Demand for Dividends (with Larry Harris and David Solomon)
|