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Sovereignty, Inc. : Three Inquiries in Politics and Enjoyment
\"William Mazzarella, Eric Santner, and Aaron Schuster join forces to analyze the disorienting experience of politics in the Trump era. Drawing from anthropology, media theory, political theory, philosophy, and psychoanalysis, the coauthors show how Trump's compulsive self-branding generates a correspondingly obsessive attention on the part of the public. By retweeting news about Trump, whether in praise or in scorn, the public participates in the manufacturing and reproduction of the Trump brand. This circuit, the coauthors argue, generates a form of pleasure on all sides, even for Trump's detractors, to such an extent that it stultifies, rather than galvanizes, forms of political resistance. The book's provocative claim is that regardless of political affiliation, we all enjoy Trump. Each of the book's extended essays tackles different aspects of this perverse enjoyment, resonating richly with each other in the manner of the unique collaboration that defines TRIOS series volumes\"-- Provided by publisher.
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Expectations Management and Stock Returns
We establish a link between firms managing investors’performance expectations, earnings announcement premiums, and cyclical patterns (i.e., seasonalities) in returns. Firms that are more likely to manage expectations toward beatable levels predictably earn lower returns before, and higher returns during, their earnings announcements. This pattern repeats across firms’ fiscal quarters, suggesting firms manufacture positive “surprises” by negatively biasing investors’ expectations ahead of announcing earnings. We corroborate these findings using non-price-based outcomes indicative of expectations management. Together, our findings are consistent with the pressure for firms to meet earnings targets shaping the cross-section of firms’stock returns.
Journal Article
Time Will Tell: Information in the Timing of Scheduled Earnings News
Using novel earnings calendar data, we show that firms’ advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates. Despite scheduling disclosures being observable weeks ahead of earnings announcements, we show that equity markets fail to reflect the information in these disclosures until the announcement itself. By also showing that option markets respond efficiently to volatility-timing information embedded in the same scheduling disclosures, we provide novel evidence that markets fail to react to information about future earnings despite investors immediately trading on the underlying signal.
Journal Article
A Simple Multimarket Measure of Information Asymmetry
We develop and implement a new measure of information asymmetry among traders. Our measure is based on the intuition that informed traders are more likely than uninformed traders to generate abnormal volume in options or stock markets. We formalize this intuition theoretically and compute the resulting multimarket information asymmetry measure (MIA) for firm-days as a function of unsigned volume totals and without estimating a structural model. Empirically, MIA has many desirable properties: it is positively correlated with spreads, price impact, and absolute order imbalances; predicts future volatility; is an effective conditioning variable for trading strategies stemming from price pressure; and detects exogenous shocks to information asymmetry.
This paper was accepted by Lauren Cohen, finance.
Journal Article
Identifying Expectation Errors in Value/Glamour Strategies: A Fundamental Analysis Approach
It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic) expectations; thus, the value/glamour effect should be concentrated (absent) among firms with (without) ex ante identifiable expectation errors. Classifying firms based upon whether expectations implied by current pricing multiples are congruent with the strength of their fundamentals, we document that value/glamour returns and ex post revisions to market expectations are predictably concentrated (absent) among firms with ex ante biased (unbiased) market expectations.
Journal Article
Non-Diversifiable Volatility Risk and Risk Premiums at Earnings Announcements
This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in prices of firms' traded options that are significantly positively associated with the extent to which the firms' earnings announcements pose non-diversifiable volatility risk. In addition, we find that volatility risk premiums are concentrated among bellwether firms and result in predictable variation in option straddle returns around earnings announcements. Taken together, our findings show that some earnings announcements pose non-diversifiable volatility risk that commands a risk premium.
Journal Article
Evaluating Firm-Level Expected-Return Proxies
We introduce a parsimonious framework for choosing among alternative expected-return proxies (ERPs) when estimating treatment effects. By comparing ERPs’ measurement error variances in the cross-section and in the time series, we provide new evidence on the relative performance of firm-level ERPs nominated by recent studies. Generally, “implied-costs-ofcapital” metrics perform best in the time series, Îwhereas “characteristic-based” proxies perform best in the cross-section. Factor-based ERPs, even the latest renditions, perform poorly. We revisit four prior studies that use ex ante ERPs and illustrate how this framework can potentially alter either the sign or the magnitude of prior inferences.
Journal Article
Synthetic lethal targeting of oncogenic transcription factors in acute leukemia by PARP inhibitors
The authors uncover a therapeutic vulnerability to PARP inhibition of acute myeloid leukemias driven by certain oncogenic fusions, and they unravel the mechanisms by which these cancers rely on DNA damage and repair pathways for growth.
Acute myeloid leukemia (AML) is mostly driven by oncogenic transcription factors, which have been classically viewed as intractable targets using small-molecule inhibitor approaches. Here we demonstrate that AML driven by repressive transcription factors, including AML1-ETO (encoded by the fusion oncogene
RUNX1
-
RUNX1T1
) and PML-RARα fusion oncoproteins (encoded by
PML
-
RARA
) are extremely sensitive to poly (ADP-ribose) polymerase (PARP) inhibition, in part owing to their suppressed expression of key homologous recombination (HR)-associated genes and their compromised DNA-damage response (DDR). In contrast, leukemia driven by mixed-lineage leukemia (MLL, encoded by
KMT2A
) fusions with dominant transactivation ability is proficient in DDR and insensitive to PARP inhibition. Intriguingly, genetic or pharmacological inhibition of an MLL downstream target, HOXA9, which activates expression of various HR-associated genes, impairs DDR and sensitizes MLL leukemia to PARP inhibitors (PARPis). Conversely, HOXA9 overexpression confers PARPi resistance to AML1-ETO and PML-RARα transformed cells. Together, these studies describe a potential utility of PARPi-induced synthetic lethality for leukemia treatment and reveal a novel molecular mechanism governing PARPi sensitivity in AML.
Journal Article
Analyst Initiations of Coverage and Stock Return Synchronicity
We examine how the information produced by analysts when they initiate coverage contributes to the mix of firm-specific, industry-, and market-wide information available about the firm. We hypothesize that the first analyst to initiate coverage provides low-cost market and industry information allowing him/her to follow more stocks, whereas subsequent analysts provide firm-specific information to distinguish themselves from existing analysts. We use stock return synchronicity to measure the mix of information available about a firm, with higher synchronicity indicating more industry and market information. Coverage initiations of firms with no prior analyst coverage increase synchronicity, suggesting that analysts produce industry- and market-wide information. In contrast, analysts initiating coverage on firms with existing coverage appear to focus on producing firm-specific information as these initiations lead to reduced synchronicity. Together, our findings indicate that the type of information that analysts produce at initiation depends on the information provided by other analysts.
Journal Article
Asymmetric Trading Costs Prior to Earnings Announcements: Implications for Price Discovery and Returns
We show that the cost of trading on negative news, relative to positive news, increases before earnings announcements. Our evidence suggests that this asymmetry is due to financial intermediaries reducing their exposure to announcement risks by providing liquidity asymmetrically. This asymmetry creates a predictable upward bias in prices that increases preannouncement, and subsequently reverses, confounding short-window announcement returns as measures of earnings news and risk premia. These findings provide an alternative explanation for asymmetric return reactions to firms' earnings news, and help explain puzzling prior evidence that announcement risk premia precede the actual announcements. Our study informs methods for research centering on earnings announcements and offers a possible explanation for patterns in returns around anticipated periods of heightened inventory risks, including alternative firm-level, industry-level, and macroeconomic information events.
Journal Article