Jason Karceski - Profile on Academia.edu (original) (raw)
Papers by Jason Karceski
Captured Money? Differences in the Performance Characteristics of Retail and Institutional Mutual Funds
SSRN Electronic Journal, 2002
Journal of Banking & Finance, 2006
A number of mutual funds cater exclusively to institutional investors. Although institutional fun... more A number of mutual funds cater exclusively to institutional investors. Although institutional funds might be a natural place to look for ''smart money'', agency costs associated with delegated monitoring may lead to less monitoring and worse overall performance. We split institutional funds based on proxies for the degree of investor oversight, and we find that institutional funds with low initial investment requirements and funds with retail mates perform significantly worse than other institutional funds both before and after adjusting for risk and expenses. Tracking error is especially important in the flow-performance relationship of institutional funds with high minimum investment requirements.
What a Difference a Month Makes: Stock Analyst Valuations Following Initial Public Offerings
SSRN Electronic Journal, 2003
We examine how analysts establish target prices for IPO firms and whether comparable firms used t... more We examine how analysts establish target prices for IPO firms and whether comparable firms used to support target prices are helpful in explaining IPO offer prices. During the bubble period of 1999 to 2000, the average offer price was set at a discount relative to comparable firm ...
Journal of Financial Economics, 2006
Firms with poor aftermarket performance are given higher target prices and are more likely to rec... more Firms with poor aftermarket performance are given higher target prices and are more likely to receive strong buy recommendations, especially by analysts affiliated with the lead underwriter. This favorable coverage is relatively short lived, typically lasting less than six months. Controlling for the quantity of coverage received, stock prices of newly public firms increase more when the target price ratio is high and recommendation is a strong buy. These results suggest that when a firm goes public, underwriter-affiliated analysts provide protection in the form of ''booster shots'' of stronger coverage if the firm experiences poor aftermarket stock performance. r 2006 Published by Elsevier B.V. JEL classification: G14; G24
What a Difference a Month Makes: Stock Analyst Valuations Following Initial Public Offerings
Journal of Financial and Quantitative Analysis, 2006
We examine how analysts establish target prices for IPO firms and whether comparable firms used t... more We examine how analysts establish target prices for IPO firms and whether comparable firms used to support target prices are helpful in explaining IPO offer prices. During the bubble period of 1999 to 2000, the average offer price was set at a discount relative to comparable firm ...
Journal of Finance, 2005
We estimate the impact of bank merger announcements on borrowers' stock prices for publicly trade... more We estimate the impact of bank merger announcements on borrowers' stock prices for publicly traded Norwegian firms. Borrowers of target banks lose about 0.8% in equity value, while borrowers of acquiring banks earn positive abnormal returns, suggesting that borrower welfare is inf luenced by a strategic focus favoring acquiring borrowers. Bank mergers lead to higher relationship exit rates among borrowers of target banks. Larger merger-induced increases in relationship termination rates are associated with less negative abnormal returns, suggesting that firms with low switching costs switch banks, while similar firms with high switching costs are locked into their current relationship.
SSRN Electronic Journal, 2000
We estimate the impact of bank merger announcements on borrowers' stock prices for publiclytraded... more We estimate the impact of bank merger announcements on borrowers' stock prices for publiclytraded Norwegian firms. In addition, we analyze how bank mergers influence borrower relationship termination behavior and relate the propensity to terminate to borrower abnormal returns. We obtain four main results. First, on average borrowers lose about one percent in equity value when their bank is announced as a merger target. Small borrowers of target banks are especially hurt in mergers between two large banks, where they lose an average of about three percent. Small target borrowers are not harmed, and appear to even gain, from mergers between small banks. Second, bank mergers lead to higher relationship exit rates for three years after a bank merger, and small bank mergers lead to larger increases in exit rates than large mergers. Third, target borrower abnormal returns are positively related to pre-merger exit rates, indicating that firms that find it easier to switch banks are less harmed when their bank merges. Fourth, we find weak evidence that target borrowers with large merger-induced increases in exit rates are more negatively affected by bank merger announcements, suggesting that target borrowers can be forced out of relationships and suffer welfare losses as a result of bank mergers.
SSRN Electronic Journal, 2003
Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We... more Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflict of interest and their incentives to adjust strategically forecasts to avoid earnings disappointments. We document shifts in the distribution of earnings surprises, the market's response to surprises and forecast revisions, and in the predictability of non-negative surprises. Further confirmation is based on subsamples where conflicts of interest are more pronounced, including growth stocks and stocks with consecutive non-negative surprises; however shifts are less notable in international markets.
Review of Financial Studies, 1999
We evaluate the performance of different models for the covariance structure of stock returns, fo... more We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more factors does not improve forecast power. Portfolio optimization helps for risk control, but the different covariance models yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable results for a heuristic approach based on matching the benchmark's attributes.
Analysts' Conflicts of Interest and Biases in Earnings Forecasts
Journal of Financial and Quantitative Analysis, 2007
Analysts' earnings forecasts are influenced by their desire to win investment ba... more Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflicts of interest and their in- centives to strategically adjust forecasts to avoid earnings disappointments. We document shifts in the distribution of earnings surprises and related changes in the market's response to surprises and forecast revisions. The evidence for shifts is stronger for growth stocks, where conflicts of interest are more pronounced. However, shifts are less notable for ana- lysts without ties to investment banking and in international markets.
Analysts' Conflicts of Interest and Biases in Earnings Forecasts
Analysts' earnings forecasts are influenced by their desire to win investment ba... more Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflicts of interest and their in- centives to strategically adjust forecasts to avoid earnings disappointments. We document shifts in the distribution of earnings surprises and related changes in the market's response to surprises and forecast revisions. The evidence for shifts is stronger for growth stocks, where conflicts of interest are more pronounced. However, shifts are less notable for ana- lysts without ties to investment banking and in international markets.
SSRN Electronic Journal, 2002
Journal of Financial and Quantitative Analysis, 1998
Financial Analysts Journal, 2000
The recent relative stock-price performance of six U.S. equity asset classes (classified by size ... more The recent relative stock-price performance of six U.S. equity asset classes (classified by size and by value-versus-growth style) differs markedly from the historical pattern. Large-capitalization growth stocks have apparently taken the place of small-capitalization and value stocks in investors' hearts. Have the size and value premiums of the past vanished for good? We explore three explanations of recent market behavior-the "rational-asset-pricing" hypothesis, the "new-paradigm" viewpoint, and the "behavioral" or "institutional" explanation. In our study, we examined the operating performance of the equity classes to see which hypothesis accounts for the recent behavior of returns. Our findings provide the most support for the behavioral explanation.
Journal of Empirical Finance, 2009
Although much work has been done on evaluating long-run equity abnormal returns, the statistical ... more Although much work has been done on evaluating long-run equity abnormal returns, the statistical tests used in the literature are misspecified when event firms come from nonrandom samples. Specifically, industry clustering or overlapping returns in the sample contribute to test misspecification. We propose a new test of long-run performance that uses the average long-run abnormal return for each monthly cohort of event firms, but weights these average abnormal returns in a way that allows for heteroskedasticity and autocorrelation. Our tests work well in random samples and in samples with industry clustering and with overlapping returns, without a reduction in power compared to the methodologies of Lyon, Barber and Tsai (1999). Barber, Brad M., and John D. Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372. Boehme, Rodney D., and Sorin M. Sorescu, 2002, The long-run performance following dividend initiations and resumptions: Underreaction or product of chance?, Journal of Finance 57, 871-900. Brav, Alon, 2000, Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings, Journal of Finance 55, 1979-2016. , 1999, Improved methods for tests of long-run abnormal stock returns, Journal of Finance 54, 165-201.
Although much work has been done on evaluating long-run equity abnormal returns, the statistical ... more Although much work has been done on evaluating long-run equity abnormal returns, the statistical tests used in the literature are misspecified when event firms come from nonrandom samples. Specifically, industry clustering or overlapping returns in the sample contribute to test misspecification. We propose a new test of long-run performance that uses the average long-run abnormal return for each monthly cohort of event firms, but weights these average abnormal returns in a way that allows for heteroskedasticity and autocorrelation. Our tests work well in random samples and in samples with industry clustering and with overlapping returns, without a reduction in power compared to the methodologies of Lyon, Barber and Tsai (1999). Barber, Brad M., and John D. Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372. Boehme, Rodney D., and Sorin M. Sorescu, 2002, The long-run performance following dividend initiations and resumptions: Underreaction or product of chance?, Journal of Finance 57, 871-900. Brav, Alon, 2000, Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings, Journal of Finance 55, 1979-2016. , 1999, Improved methods for tests of long-run abnormal stock returns, Journal of Finance 54, 165-201.
Captured Money? Differences in the Performance Characteristics of Retail and Institutional Mutual Funds
SSRN Electronic Journal, 2002
Journal of Banking & Finance, 2006
A number of mutual funds cater exclusively to institutional investors. Although institutional fun... more A number of mutual funds cater exclusively to institutional investors. Although institutional funds might be a natural place to look for ''smart money'', agency costs associated with delegated monitoring may lead to less monitoring and worse overall performance. We split institutional funds based on proxies for the degree of investor oversight, and we find that institutional funds with low initial investment requirements and funds with retail mates perform significantly worse than other institutional funds both before and after adjusting for risk and expenses. Tracking error is especially important in the flow-performance relationship of institutional funds with high minimum investment requirements.
What a Difference a Month Makes: Stock Analyst Valuations Following Initial Public Offerings
SSRN Electronic Journal, 2003
We examine how analysts establish target prices for IPO firms and whether comparable firms used t... more We examine how analysts establish target prices for IPO firms and whether comparable firms used to support target prices are helpful in explaining IPO offer prices. During the bubble period of 1999 to 2000, the average offer price was set at a discount relative to comparable firm ...
Journal of Financial Economics, 2006
Firms with poor aftermarket performance are given higher target prices and are more likely to rec... more Firms with poor aftermarket performance are given higher target prices and are more likely to receive strong buy recommendations, especially by analysts affiliated with the lead underwriter. This favorable coverage is relatively short lived, typically lasting less than six months. Controlling for the quantity of coverage received, stock prices of newly public firms increase more when the target price ratio is high and recommendation is a strong buy. These results suggest that when a firm goes public, underwriter-affiliated analysts provide protection in the form of ''booster shots'' of stronger coverage if the firm experiences poor aftermarket stock performance. r 2006 Published by Elsevier B.V. JEL classification: G14; G24
What a Difference a Month Makes: Stock Analyst Valuations Following Initial Public Offerings
Journal of Financial and Quantitative Analysis, 2006
We examine how analysts establish target prices for IPO firms and whether comparable firms used t... more We examine how analysts establish target prices for IPO firms and whether comparable firms used to support target prices are helpful in explaining IPO offer prices. During the bubble period of 1999 to 2000, the average offer price was set at a discount relative to comparable firm ...
Journal of Finance, 2005
We estimate the impact of bank merger announcements on borrowers' stock prices for publicly trade... more We estimate the impact of bank merger announcements on borrowers' stock prices for publicly traded Norwegian firms. Borrowers of target banks lose about 0.8% in equity value, while borrowers of acquiring banks earn positive abnormal returns, suggesting that borrower welfare is inf luenced by a strategic focus favoring acquiring borrowers. Bank mergers lead to higher relationship exit rates among borrowers of target banks. Larger merger-induced increases in relationship termination rates are associated with less negative abnormal returns, suggesting that firms with low switching costs switch banks, while similar firms with high switching costs are locked into their current relationship.
SSRN Electronic Journal, 2000
We estimate the impact of bank merger announcements on borrowers' stock prices for publiclytraded... more We estimate the impact of bank merger announcements on borrowers' stock prices for publiclytraded Norwegian firms. In addition, we analyze how bank mergers influence borrower relationship termination behavior and relate the propensity to terminate to borrower abnormal returns. We obtain four main results. First, on average borrowers lose about one percent in equity value when their bank is announced as a merger target. Small borrowers of target banks are especially hurt in mergers between two large banks, where they lose an average of about three percent. Small target borrowers are not harmed, and appear to even gain, from mergers between small banks. Second, bank mergers lead to higher relationship exit rates for three years after a bank merger, and small bank mergers lead to larger increases in exit rates than large mergers. Third, target borrower abnormal returns are positively related to pre-merger exit rates, indicating that firms that find it easier to switch banks are less harmed when their bank merges. Fourth, we find weak evidence that target borrowers with large merger-induced increases in exit rates are more negatively affected by bank merger announcements, suggesting that target borrowers can be forced out of relationships and suffer welfare losses as a result of bank mergers.
SSRN Electronic Journal, 2003
Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We... more Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflict of interest and their incentives to adjust strategically forecasts to avoid earnings disappointments. We document shifts in the distribution of earnings surprises, the market's response to surprises and forecast revisions, and in the predictability of non-negative surprises. Further confirmation is based on subsamples where conflicts of interest are more pronounced, including growth stocks and stocks with consecutive non-negative surprises; however shifts are less notable in international markets.
Review of Financial Studies, 1999
We evaluate the performance of different models for the covariance structure of stock returns, fo... more We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more factors does not improve forecast power. Portfolio optimization helps for risk control, but the different covariance models yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable results for a heuristic approach based on matching the benchmark's attributes.
Analysts' Conflicts of Interest and Biases in Earnings Forecasts
Journal of Financial and Quantitative Analysis, 2007
Analysts' earnings forecasts are influenced by their desire to win investment ba... more Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflicts of interest and their in- centives to strategically adjust forecasts to avoid earnings disappointments. We document shifts in the distribution of earnings surprises and related changes in the market's response to surprises and forecast revisions. The evidence for shifts is stronger for growth stocks, where conflicts of interest are more pronounced. However, shifts are less notable for ana- lysts without ties to investment banking and in international markets.
Analysts' Conflicts of Interest and Biases in Earnings Forecasts
Analysts' earnings forecasts are influenced by their desire to win investment ba... more Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflicts of interest and their in- centives to strategically adjust forecasts to avoid earnings disappointments. We document shifts in the distribution of earnings surprises and related changes in the market's response to surprises and forecast revisions. The evidence for shifts is stronger for growth stocks, where conflicts of interest are more pronounced. However, shifts are less notable for ana- lysts without ties to investment banking and in international markets.
SSRN Electronic Journal, 2002
Journal of Financial and Quantitative Analysis, 1998
Financial Analysts Journal, 2000
The recent relative stock-price performance of six U.S. equity asset classes (classified by size ... more The recent relative stock-price performance of six U.S. equity asset classes (classified by size and by value-versus-growth style) differs markedly from the historical pattern. Large-capitalization growth stocks have apparently taken the place of small-capitalization and value stocks in investors' hearts. Have the size and value premiums of the past vanished for good? We explore three explanations of recent market behavior-the "rational-asset-pricing" hypothesis, the "new-paradigm" viewpoint, and the "behavioral" or "institutional" explanation. In our study, we examined the operating performance of the equity classes to see which hypothesis accounts for the recent behavior of returns. Our findings provide the most support for the behavioral explanation.
Journal of Empirical Finance, 2009
Although much work has been done on evaluating long-run equity abnormal returns, the statistical ... more Although much work has been done on evaluating long-run equity abnormal returns, the statistical tests used in the literature are misspecified when event firms come from nonrandom samples. Specifically, industry clustering or overlapping returns in the sample contribute to test misspecification. We propose a new test of long-run performance that uses the average long-run abnormal return for each monthly cohort of event firms, but weights these average abnormal returns in a way that allows for heteroskedasticity and autocorrelation. Our tests work well in random samples and in samples with industry clustering and with overlapping returns, without a reduction in power compared to the methodologies of Lyon, Barber and Tsai (1999). Barber, Brad M., and John D. Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372. Boehme, Rodney D., and Sorin M. Sorescu, 2002, The long-run performance following dividend initiations and resumptions: Underreaction or product of chance?, Journal of Finance 57, 871-900. Brav, Alon, 2000, Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings, Journal of Finance 55, 1979-2016. , 1999, Improved methods for tests of long-run abnormal stock returns, Journal of Finance 54, 165-201.
Although much work has been done on evaluating long-run equity abnormal returns, the statistical ... more Although much work has been done on evaluating long-run equity abnormal returns, the statistical tests used in the literature are misspecified when event firms come from nonrandom samples. Specifically, industry clustering or overlapping returns in the sample contribute to test misspecification. We propose a new test of long-run performance that uses the average long-run abnormal return for each monthly cohort of event firms, but weights these average abnormal returns in a way that allows for heteroskedasticity and autocorrelation. Our tests work well in random samples and in samples with industry clustering and with overlapping returns, without a reduction in power compared to the methodologies of Lyon, Barber and Tsai (1999). Barber, Brad M., and John D. Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372. Boehme, Rodney D., and Sorin M. Sorescu, 2002, The long-run performance following dividend initiations and resumptions: Underreaction or product of chance?, Journal of Finance 57, 871-900. Brav, Alon, 2000, Inference in long-horizon event studies: A Bayesian approach with application to initial public offerings, Journal of Finance 55, 1979-2016. , 1999, Improved methods for tests of long-run abnormal stock returns, Journal of Finance 54, 165-201.