Sris Chatterjee - Academia.edu (original) (raw)
Uploads
Papers by Sris Chatterjee
Social Science Research Network, May 29, 2007
SPGMI: Compustat Fundamentals (Topic), 2021
This paper analyzes the impact of information processing cost on the quality of public informatio... more This paper analyzes the impact of information processing cost on the quality of public information production by managers and analysts in the presence of product market competition. Using the staggered adoptions of XBRL (eXtensible Business Reporting Language) as a natural experiment, we identify and estimate the impact of XBRL’s lower information processing cost. The evidence shows that both managers and analysts are more consistent and accurate in forecasting earnings and that stock prices incorporate more firm-specific information, after XBRL implementations, especially in less competitive industries. These results are consistent with prior theoretical and empirical findings (Peress (2010), Kurlat and Veldkamp (2015), Gaspar and Massa (2006), Dong et al. (2016)).
Journal of Corporate Finance, 2021
SSRN Electronic Journal, 2018
Journal of Risk and Financial Management, 2019
Prior research uses the basic one-period European call-option pricing model to compute default me... more Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of default risk and provide a more exhaustive test of stock returns using univariate and double-sorted portfolios. The results show that long/short hedge portfolios based on Geske measures of default risk produce significantly larger return differentials than Merton’s measure of default risk. The paper provides new evidence that mediates between the rational and behavioral explanations of value premium.
SSRN Electronic Journal, 2019
SSRN Electronic Journal, 2017
This paper provides an extensive international analysis of the cross-sectional return predictive ... more This paper provides an extensive international analysis of the cross-sectional return predictive power of a variety of firm-level profitability measures, calculated from different combinations of three important measures of earnings (gross profit, operating income, and EBIT) and four scaling variables (enterprise value, book value of assets, market value of equity, and book value of equity). The sample covers stock-returns data over the period 1991-2016 from four regions in the world: North America, Europe, Japan and Asia Pacific. Regarding the scaling measure, we find that irrespective of the choice of a profit measure, the cross-sectional predictive relation of firm profitability and stock returns is more pronounced when profits are scaled by enterprise value or market value of equity. Regarding the profit measure, we find that the predictive power is more pronounced when profit is measured by gross profit. Our findings are consistent with the hypotheses that the predictive power of “profits-to-market price” factor is partly attributable to stock overvaluation arising from systematic behavioral biases and partly to the choice of a “clean” measure of earnings.
Financial Management, 1996
Theory, Evidence, and Practice, 2011
... P2: ABC JWBT436-c22 JWBT436-Baker February 11, 2011 10: 47 Printer Name: Hamilton 398 Special... more ... P2: ABC JWBT436-c22 JWBT436-Baker February 11, 2011 10: 47 Printer Name: Hamilton 398 Special Topics REFERENCES Adedeji, Abimbola, and ... 2003.Make or Buy in Trucking: Asset Ownership, Job Design, and Information. American Economic Review 93: 3, 551572. ...
Review of Financial Studies, 2011
Journal of Futures Markets, 1993
Journal of Futures Markets, 1992
We also thank Avraham Kamara and Andrew Siegel for providing part of the data. 'Lien (1989a) exte... more We also thank Avraham Kamara and Andrew Siegel for providing part of the data. 'Lien (1989a) extends Kamara and Siegel's findings to the case of optimal hedging in several wheat futures markets. The markets he considers are the CBT, which has multiple deliverable grades and the KCBT, which has only one deliverable grade. However, for the purposes of this discussion, it is sufficient to refer to Kamara and Siegel's analytic results only, because Lien's theoretical results are based on Kamara and Siegel's analysis.
Journal of Futures Markets, 1991
Journal of Financial Economics, 1995
Journal of Financial and Quantitative Analysis, 2008
This paper provides the first theoretical explanation and the first empirical analysis of conting... more This paper provides the first theoretical explanation and the first empirical analysis of contingent value rights (CVRs), which have been used as a means of payment in acquisitions, exchange offers, debt restructurings, Chapter 11 reorganizations, and lawsuit settlements. A CVR is a put option committing to pay additional cash or securities to CVR holders, contingent on the issuer's share price falling below a prespecified reference level. In this paper, we develop a model to show that CVRs can help a higher-intrinsic-value firm to reveal its firm type when the firm faces an asymmetric information problem. Our model predicts that i) when CVRs are offered along with cash or stock, the announcement period abnormal stock return is greater than that in stock offers, ii) firms facing more severe asymmetric information problems are more likely to offer CVRs to signal their firm type, and iii) firms that are relatively more cash-constrained are more likely to offer CVRs rather than cas...
Journal of Banking & Finance, 1993
Journal of Banking & Finance, 2004
International Journal of Banking, Accounting and Finance, 2010
ABSTRACT This paper evaluates the relation between two well-known anomalies in stock returns, viz... more ABSTRACT This paper evaluates the relation between two well-known anomalies in stock returns, viz, momentum and monthly effect. The monthly effect anomaly refers to the fact that stocks earn positive average returns only during the first half of the month and zero average returns during the second half. In this paper, we show that although the monthly effect anomaly continues to hold for stocks in general (as well as for stocks grouped by size or book-to-market or other criteria), the monthly effect seems to break down for momentum portfolios. This result has implications for implementing a portfolio trading strategy based upon the momentum effect and the monthly effect. We further show that the profitability of momentum portfolios arises from the second half of the month because the monthly effect for winner and loser portfolios is asymmetric. We also examine the risk characteristics of the momentum returns. The risk-adjusted excess return (or alpha) for momentum portfolio was previously reported by other researchers as significant, but is statistically insignificant in recent years.
This paper examines the characteristics of merged hedge-funds. The data indicate that merged hedg... more This paper examines the characteristics of merged hedge-funds. The data indicate that merged hedge-funds are larger funds that have underperformed over a two-year period prior to merger and have suffered from significantly lower money-flow prior to merger. Merged hedge-funds are also older funds. The fee structure of merged funds is similar to other hedge-funds. The paper compares these findings with recent research findings on mutual fund mergers.
Journal of Financial Economics, 1995
Social Science Research Network, May 29, 2007
SPGMI: Compustat Fundamentals (Topic), 2021
This paper analyzes the impact of information processing cost on the quality of public informatio... more This paper analyzes the impact of information processing cost on the quality of public information production by managers and analysts in the presence of product market competition. Using the staggered adoptions of XBRL (eXtensible Business Reporting Language) as a natural experiment, we identify and estimate the impact of XBRL’s lower information processing cost. The evidence shows that both managers and analysts are more consistent and accurate in forecasting earnings and that stock prices incorporate more firm-specific information, after XBRL implementations, especially in less competitive industries. These results are consistent with prior theoretical and empirical findings (Peress (2010), Kurlat and Veldkamp (2015), Gaspar and Massa (2006), Dong et al. (2016)).
Journal of Corporate Finance, 2021
SSRN Electronic Journal, 2018
Journal of Risk and Financial Management, 2019
Prior research uses the basic one-period European call-option pricing model to compute default me... more Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have higher default risk and value stocks earn higher returns than growth stocks if their default risk is high. In this paper we use a more advanced compound option pricing model for the computation of default risk and provide a more exhaustive test of stock returns using univariate and double-sorted portfolios. The results show that long/short hedge portfolios based on Geske measures of default risk produce significantly larger return differentials than Merton’s measure of default risk. The paper provides new evidence that mediates between the rational and behavioral explanations of value premium.
SSRN Electronic Journal, 2019
SSRN Electronic Journal, 2017
This paper provides an extensive international analysis of the cross-sectional return predictive ... more This paper provides an extensive international analysis of the cross-sectional return predictive power of a variety of firm-level profitability measures, calculated from different combinations of three important measures of earnings (gross profit, operating income, and EBIT) and four scaling variables (enterprise value, book value of assets, market value of equity, and book value of equity). The sample covers stock-returns data over the period 1991-2016 from four regions in the world: North America, Europe, Japan and Asia Pacific. Regarding the scaling measure, we find that irrespective of the choice of a profit measure, the cross-sectional predictive relation of firm profitability and stock returns is more pronounced when profits are scaled by enterprise value or market value of equity. Regarding the profit measure, we find that the predictive power is more pronounced when profit is measured by gross profit. Our findings are consistent with the hypotheses that the predictive power of “profits-to-market price” factor is partly attributable to stock overvaluation arising from systematic behavioral biases and partly to the choice of a “clean” measure of earnings.
Financial Management, 1996
Theory, Evidence, and Practice, 2011
... P2: ABC JWBT436-c22 JWBT436-Baker February 11, 2011 10: 47 Printer Name: Hamilton 398 Special... more ... P2: ABC JWBT436-c22 JWBT436-Baker February 11, 2011 10: 47 Printer Name: Hamilton 398 Special Topics REFERENCES Adedeji, Abimbola, and ... 2003.Make or Buy in Trucking: Asset Ownership, Job Design, and Information. American Economic Review 93: 3, 551572. ...
Review of Financial Studies, 2011
Journal of Futures Markets, 1993
Journal of Futures Markets, 1992
We also thank Avraham Kamara and Andrew Siegel for providing part of the data. 'Lien (1989a) exte... more We also thank Avraham Kamara and Andrew Siegel for providing part of the data. 'Lien (1989a) extends Kamara and Siegel's findings to the case of optimal hedging in several wheat futures markets. The markets he considers are the CBT, which has multiple deliverable grades and the KCBT, which has only one deliverable grade. However, for the purposes of this discussion, it is sufficient to refer to Kamara and Siegel's analytic results only, because Lien's theoretical results are based on Kamara and Siegel's analysis.
Journal of Futures Markets, 1991
Journal of Financial Economics, 1995
Journal of Financial and Quantitative Analysis, 2008
This paper provides the first theoretical explanation and the first empirical analysis of conting... more This paper provides the first theoretical explanation and the first empirical analysis of contingent value rights (CVRs), which have been used as a means of payment in acquisitions, exchange offers, debt restructurings, Chapter 11 reorganizations, and lawsuit settlements. A CVR is a put option committing to pay additional cash or securities to CVR holders, contingent on the issuer's share price falling below a prespecified reference level. In this paper, we develop a model to show that CVRs can help a higher-intrinsic-value firm to reveal its firm type when the firm faces an asymmetric information problem. Our model predicts that i) when CVRs are offered along with cash or stock, the announcement period abnormal stock return is greater than that in stock offers, ii) firms facing more severe asymmetric information problems are more likely to offer CVRs to signal their firm type, and iii) firms that are relatively more cash-constrained are more likely to offer CVRs rather than cas...
Journal of Banking & Finance, 1993
Journal of Banking & Finance, 2004
International Journal of Banking, Accounting and Finance, 2010
ABSTRACT This paper evaluates the relation between two well-known anomalies in stock returns, viz... more ABSTRACT This paper evaluates the relation between two well-known anomalies in stock returns, viz, momentum and monthly effect. The monthly effect anomaly refers to the fact that stocks earn positive average returns only during the first half of the month and zero average returns during the second half. In this paper, we show that although the monthly effect anomaly continues to hold for stocks in general (as well as for stocks grouped by size or book-to-market or other criteria), the monthly effect seems to break down for momentum portfolios. This result has implications for implementing a portfolio trading strategy based upon the momentum effect and the monthly effect. We further show that the profitability of momentum portfolios arises from the second half of the month because the monthly effect for winner and loser portfolios is asymmetric. We also examine the risk characteristics of the momentum returns. The risk-adjusted excess return (or alpha) for momentum portfolio was previously reported by other researchers as significant, but is statistically insignificant in recent years.
This paper examines the characteristics of merged hedge-funds. The data indicate that merged hedg... more This paper examines the characteristics of merged hedge-funds. The data indicate that merged hedge-funds are larger funds that have underperformed over a two-year period prior to merger and have suffered from significantly lower money-flow prior to merger. Merged hedge-funds are also older funds. The fee structure of merged funds is similar to other hedge-funds. The paper compares these findings with recent research findings on mutual fund mergers.
Journal of Financial Economics, 1995