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Samuel M Hartzmark |
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University of Southern California Marshall School of Business |
PhD Candidate Finance and Business Economics |
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ReSearch Interests Empirical Asset Pricing Behavioral Finance Prediction Markets
CV
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Working Papers: With David Solomon Abstract: We document that companies have positive abnormal returns in months when they are expected to pay dividends. Abnormal returns in predicted dividend months are high both relative to all other companies (by 53 basis points per month), and relative to dividend-paying companies in months without a predicted dividend (by 37 basis points per month). These results are consistent with time-series effects of dividend clienteles – investors who desire dividends bid up the price before the ex-dividend day. Consistent with this, daily returns increase as the ex-dividend day approaches, and are negative afterwards. Returns are also larger in periods of economic uncertainty, when demand for dividends may be higher.
Efficiency and the Disposition Effect in NFL Prediction Markets With David Solomon 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.
COMING SOON: Economic Uncertainty and Interest Rates
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