Big Data as a Governance Mechanism

Review of Financial Studies - Tập 32 Số 5 - Trang 2021-2061 - 2019
Christina Zhu1
1Wharton School, University of Pennsylvania,

Tóm tắt

Từ khóa


Tài liệu tham khảo

Admati,, 1987, Viable allocations of information in financial markets, Journal of Economic Theory, 43, 76, 10.1016/0022-0531(87)90116-5

Admati,, 2009, The “Wall Street walk” and shareholder activism: Exit as a form of voice, Review of Financial Studies, 22, 2645, 10.1093/rfs/hhp037

Amador,, 2010, Learning from prices, Journal of Political Economy, 118, 866, 10.1086/657923

Amihud,, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets, 5, 31, 10.1016/S1386-4181(01)00024-6

Baiman,, 1996, The relation among capital markets, financial disclosure, production efficiency, and insider trading, Journal of Accounting Research, 34, 1, 10.2307/2491329

Baker,, 2003, When does the market matter? stock prices and the investment of equity-dependent firms, Quarterly Journal of Economics, 118, 969, 10.1162/00335530360698478

Bakke,, 2010, Which firms follow the market?, Review of Financial Studies, 23, 1941, 10.1093/rfs/hhp115

Balakrishnan,, 2014, Shaping liquidity: On the causal effects of voluntary disclosure, Journal of Finance, 69, 2237, 10.1111/jofi.12180

Bank of America Merrill Lynch, 2016, The “big data race” current trends

Bates,, 2005, Asset sales, investment opportunities, and the use of proceeds, Journal of Finance, 60, 105, 10.1111/j.1540-6261.2005.00726.x

Bebchuk,, 2015, The long-term effects of hedge fund activism, Columbia Law Review, 115, 1085

Bertrand,, 2003, Enjoying the quiet life? Corporate governance and managerial preferences, Journal of Political Economy, 111, 1043, 10.1086/376950

Bharath,, 2009, Does asymmetric information drive capital structure decisions?, Review of Financial Studies, 22, 3211, 10.1093/rfs/hhn076

Biddle,, 2006, Accounting quality and firm-level capital investment, Accounting Review, 81, 963, 10.2308/accr.2006.81.5.963

Biddle,, 2009, How does financial reporting quality relate to investment efficiency?, Journal of Accounting and Economics, 48, 112, 10.1016/j.jacceco.2009.09.001

Blankespoor,, 2018, Capital markets effects of media synthesis and dissemination: Evidence from robo-journalism, Review of Accounting Studies, 23, 1, 10.1007/s11142-017-9422-2

Blankespoor,, 2014, Initial evidence on the market impact of the XBRL mandate, Review of Accounting Studies, 19, 1468, 10.1007/s11142-013-9273-4

Boehmer,, 2012, Short selling and the price discovery process, Review of Financial Studies, 26, 287, 10.1093/rfs/hhs097

Bond,, 2012, The real effects of financial markets, Annual Review of Financial Economics, 4, 339, 10.1146/annurev-financial-110311-101826

Boot,, 1992, Why hang on to losers? Divestitures and takeovers, Journal of Finance, 47, 1401, 10.1111/j.1540-6261.1992.tb04663.x

Brandenburger,, 1996, When managers cover their posteriors, Rand Journal of Economics, 27, 523, 10.2307/2555842

Brogaard,, 2014, High-frequency trading and price discovery, Review of Financial Studies, 27, 2267, 10.1093/rfs/hhu032

Brunnermeier,, 2005, Information leakage and market efficiency, Review of Financial Studies, 18, 417, 10.1093/rfs/hhi015

Bushman,, 2011, Capital allocation and timely accounting recognition of economic losses, Journal of Business Finance & Accounting, 38, 1, 10.1111/j.1468-5957.2010.02231.x

Bushman,, 2001, Financial accounting information and corporate governance, Journal of Accounting and Economics, 32, 237, 10.1016/S0165-4101(01)00027-1

Chen,, 2007, Price informativeness and investment sensitivity to stock price, Review of Financial Studies, 20, 619, 10.1093/rfs/hhl024

Citi Research, 2017, Searching for alpha: Big data - navigating new alternative datasets

Cohen,, 2012, Decoding inside information, Journal of Finance, 67, 1009, 10.1111/j.1540-6261.2012.01740.x

Collins,, 1989, An analysis of intertemporal and cross-sectional determinants of earnings response coefficients, Journal of Accounting and Economics, 11, 143, 10.1016/0165-4101(89)90004-9

Collins,, 1994, Lack of timeliness and noise as explanations for the low contemporaneous return-earnings association, Journal of Accounting and Economics, 18, 289, 10.1016/0165-4101(94)90024-8

David,, 2016, Information, misallocation, and aggregate productivity, Quarterly Journal of Economics, 131, 943, 10.1093/qje/qjw006

De Mauro,, 2016, A formal definition of big data based on its essential features, Library Review, 65, 122, 10.1108/LR-06-2015-0061

Dechow,, 2001, Short-sellers, fundamental analysis, and stock returns, Journal of Financial Economics, 61, 77, 10.1016/S0304-405X(01)00056-3

Deloitte, 2017, Alternative data for investment decisions: Today’s innovation could be tomorrow’s requirement

Demski,, 1994, Market response to financial reports, Journal of Accounting and Economics, 17, 3, 10.1016/0165-4101(94)90003-5

Deutsche Bank, 2016, Big data in investment management

Diamond,, 1981, Information aggregation in a noisy rational expectations economy, Journal of Financial Economics, 9, 221, 10.1016/0304-405X(81)90026-X

Diamond,, 1987, Constraints on short-selling and asset price adjustment to private information, Journal of Financial Economics, 18, 277, 10.1016/0304-405X(87)90042-0

Dow,, 1997, Stock market efficiency and economic efficiency, The Journal of Finance, 52, 1087, 10.1111/j.1540-6261.1997.tb02726.x

Dow,, 2003, Informed trading, investment, and welfare, The Journal of Business, 76, 439, 10.1086/375254

Dugast,, 2018, Data abundance and asset price informativeness, Journal of Financial Economics., 10.1016/j.jfineco.2018.07.004

Eagle Alpha, 2017, Alternative data: Applications & case studies (version 2)

Edmans,, 2009, Blockholder trading, market efficiency, and managerial myopia, Journal of Finance, 64, 2481, 10.1111/j.1540-6261.2009.01508.x

Fama,, 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance, 25, 383, 10.2307/2325486

Fang,, 2016, Short selling and earnings management: A controlled experiment, Journal of Finance, 71, 1251, 10.1111/jofi.12369

Farboodi,, 2017, Where has all the big data gone

Fishman,, 1989, Disclosure decisions by firms and the competition for price efficiency, Journal of Finance, 44, 633, 10.1111/j.1540-6261.1989.tb04382.x

Foucault,, 2014, Learning from peers’ stock prices and corporate investment, Journal of Financial Economics, 111, 554, 10.1016/j.jfineco.2013.11.006

Foxman,, 2017, data nerds struggle to gain power at hedge funds, Bloomberg

Frenkel,, 2017, The effect of analyst coverage on corporate voluntary disclosure, price efficiency and liquidity

Froot,, 2017, What do measures of real-time corporate sales say about earnings surprises and post-announcement returns?, Journal of Financial Economics, 125, 143, 10.1016/j.jfineco.2017.04.008

Froot,, 1992, Herd on the street: Informational inefficiencies in a market with short-term speculation, Journal of Finance, 47, 1461, 10.1111/j.1540-6261.1992.tb04665.x

Garciá,, 2011, Relative wealth concerns and complementarities in information acquisition, Review of Financial Studies, 24, 169, 10.1093/rfs/hhq086

Goldstein,, 2008, Manipulation and the allocational role of prices, Review of Economic Studies, 75, 133, 10.1111/j.1467-937X.2007.00467.x

Gottfried,, 2017, How credit-card data might be distorting retail stocks, Wall Street Journal

Grossman,, 1980, On the impossibility of informationally efficient markets, American Economic Review, 70, 393

Grullon,, 2015, The real effects of short-selling constraints, Review of Financial Studies, 28, 1737, 10.1093/rfs/hhv013

Harford,, 1999, Corporate cash reserves and acquisitions, Journal of Finance, 54, 1969, 10.1111/0022-1082.00179

Hayashi,, 1982, Tobin’s marginal q and average q: A neoclassical interpretation, Econometrica, 50, 213, 10.2307/1912538

Hayek,, 1945, The use of knowledge in society, American Economic Review, 35, 519

Healy,, 1993, The effect of firms’ financial disclosure strategies on stock prices, Accounting Horizons, 7, 1

Hendershott,, 2011, Does algorithmic trading improve liquidity?, Journal of Finance, 66, 1, 10.1111/j.1540-6261.2010.01624.x

Ho,, 2011, MatchIt: Nonparametric preprocessing for parametric causal inference, Journal of Statistical Software, 42, 1, 10.18637/jss.v042.i08

Hoberg,, 2010, Product market synergies and competition in mergers and acquisitions: A text-based analysis, Review of Financial Studies, 23, 3773, 10.1093/rfs/hhq053

Holden,, 1992, Long-lived private information and imperfect competition, Journal of Finance, 47, 247, 10.1111/j.1540-6261.1992.tb03985.x

Holmstrom,, 1993, Market liquidity and performance monitoring, Journal of Political Economy, 101, 678, 10.1086/261893

Hope,, 2008, Managerial empire building and firm disclosure, Journal of Accounting Research, 46, 591, 10.1111/j.1475-679X.2008.00289.x

Hubbard,, 1998, Capital-market imperfections and investment, Journal of Economic Literature, 36, 193

Imbens,, 2009, Recent developments in the econometrics of program evaluation, Journal of Economic Literature, 47, 5, 10.1257/jel.47.1.5

Isaac,, 2017, Unroll.me service faces backlash over a widespread practice: Selling user data, New York Times

Israeli,, 2017, Is there a dark side to exchange traded funds? an information perspective, Review of Accounting Studies, 22, 1048, 10.1007/s11142-017-9400-8

Jensen,, 1986, Agency costs of free cash flow, corporate finance, and takeovers, American Economic Review, 76, 323

Jensen,, 2005, Agency costs of overvalued equity, Financial Management, 34, 5, 10.1111/j.1755-053X.2005.tb00090.x

Kanodia,, 1989, Escalation errors and the sunk cost effect: An explanation based on reputation and information asymmetries, Journal of Accounting Research, 27, 59, 10.2307/2491207

Kanodia,, 1998, Investment and disclosure: The disciplinary role of periodic performance reports, Journal of Accounting Research, 36, 33, 10.2307/2491319

Karpoff,, 2010, Short sellers and financial misconduct, Journal of Finance, 65, 1879, 10.1111/j.1540-6261.2010.01597.x

Kim,, 1991, Trading volume and price reactions to public announcements, Journal of Accounting Research, 29, 302, 10.2307/2491051

Kinney,, 2002, Earnings surprise “materiality” as measured by stock returns, Journal of Accounting Research, 40, 1297, 10.1111/1475-679X.t01-1-00055

Kishan,, 2017, Big data is a big mess for hedge funds hunting signals, Bloomberg

Kormendi,, 1987, Earnings innovations, earnings persistence, and stock returns, Journal of Business, 60, 323, 10.1086/296400

Kothari,, 1992, Price-earnings regressions in the presence of prices leading earnings: Earnings level versus change specifications and alternative deflators, Journal of Accounting and Economics, 15, 173, 10.1016/0165-4101(92)90017-V

Kyle,, 1985, Continuous auctions and insider trading, Econometrica, 53, 1315, 10.2307/1913210

Lakonishok,, 2001, Are insider trades informative, Review of Financial Studies, 14, 79, 10.1093/rfs/14.1.79

Lechner,, 2010, The estimation of causal effects by difference-in-difference methods, Foundations and Trends in Econometrics, 4, 165, 10.1561/0800000014

Lundholm,, 2002, Bringing the future forward: The effect of disclosure on the returns-earnings relation, Journal of Accounting Research, 40, 809, 10.1111/1475-679X.00072

Marenzi,, 2017, Alternative data - the new frontier in asset management

Marin,, 2008, The dog that did not bark: Insider trading and crashes, Journal of Finance, 63, 2429, 10.1111/j.1540-6261.2008.01401.x

Massa,, 2015, The invisible hand of short selling: Does short selling discipline earnings management?, Review of Financial Studies, 28, 1701, 10.1093/rfs/hhu147

Masulis,, 2007, Corporate governance and acquirer returns, Journal of Finance, 62, 1851, 10.1111/j.1540-6261.2007.01259.x

McCahery,, 2016, Behind the scenes: The corporate governance preferences of institutional investors, Journal of Finance, 71, 2905, 10.1111/jofi.12393

McNichols,, 1994, Public disclosure, private information collection, and short-term trading, Journal of Accounting and Economics, 17, 69, 10.1016/0165-4101(94)90005-1

Menzly,, 2010, Market segmentation and cross-predictability of returns, Journal of Finance, 65, 1555, 10.1111/j.1540-6261.2010.01578.x

Morck,, 1990, The stock market and investment: Is the market a sideshow?, Brookings Papers on Economic Activity, 21, 157, 10.2307/2534506

Piotroski,, 2005, Do insider trades reflect both contrarian beliefs and superior knowledge about future cash flow realizations?, Journal of Accounting and Economics, 39, 55, 10.1016/j.jacceco.2004.01.003

Polk,, 2009, The stock market and corporate investment: A test of catering theory, Review of Financial Studies, 22, 187, 10.1093/rfs/hhn030

Quinlan and Associates, 2017, Alternative alpha: Unlocking hidden value in the everyday

Richardson,, 2006, Over-investment of free cash flow, Review of Accounting Studies, 11, 159, 10.1007/s11142-006-9012-1

Rogers,, 2008, Disclosure quality and management trading incentives, Journal of Accounting Research, 46, 1265, 10.1111/j.1475-679X.2008.00308.x

Rozeff,, 1998, Overreaction and insider trading: Evidence from growth and value portfolios, Journal of Finance, 53, 701, 10.1111/0022-1082.275500

Seyhun,, 1986, Insiders’ profits, costs of trading, and market efficiency, Journal of Financial Economics, 16, 189, 10.1016/0304-405X(86)90060-7

Shroff,, 2014, Information environment and the investment decisions of multinational corporations, Accounting Review, 89, 759, 10.2308/accr-50643

Skinner,, 1990, Options markets and the information content of accounting earnings releases, Journal of Accounting and Economics, 13, 191, 10.1016/0165-4101(90)90031-X

Stein,, 1989, Efficient capital markets, inefficient firms: A model of myopic corporate behavior, Quarterly Journal of Economics, 104, 655, 10.2307/2937861

The Tabb Group, 2017, Capturing alternative alpha – The rise of alternative data sets

Tobin,, 1969, A general equilibrium approach to monetary theory, Journal of Money, Credit and Banking, 1, 15, 10.2307/1991374

Tobin,, 1984, On the efficiency of the financial-system, Lloyds Bank Annual Review, 153, 1

Thomas,, 2017, 5 Misleading myths about alternative data, Quandl Blog

Thomas,, 2017, At BlackRock, machines are rising over managers to pick stocks, New York Times

Veldkamp,, 2006, Information markets and the comovement of asset prices, Review of Economic Studies, 73, 823, 10.1111/j.1467-937X.2006.00397.x

Veldkamp,, 2006, Media frenzies in markets for financial information, American Economic Review, 96, 577, 10.1257/aer.96.3.577

Verrecchia,, 1982, Information acquisition in a noisy rational expectations economy, Econometrica, 50, 1415, 10.2307/1913389

Verrecchia,, 1983, Discretionary disclosure, Journal of Accounting and Economics, 5, 179, 10.1016/0165-4101(83)90011-3

Weisbach,, 1995, CEO turnover and the firm’s investment decisions, Journal of Financial Economics, 37, 159, 10.1016/0304-405X(94)00793-Z

Wurgler,, 2000, Financial markets and the allocation of capital, Journal of Financial Economics, 58, 187, 10.1016/S0304-405X(00)00070-2

Zuckerman,, 2017, The quants run Wall Street now, Wall Street Journal