یک چشم انداز نظری در مورد تاثیر اکتشافی و مالکیت سهام
ABSTRACT
1- INTRODUCTION
2- A SIMPLE MODEL
3- MULTIPLE ASSETS AND ASYMMETRIC INFORMATION
4- ENDOGENOUS PARTICIPATION BY A TRADERS
5- BOOMS AND BUSTS, CRASHES AND RECOVERIES
6- CONCLUSION
REFERENCES
ABSTRACT
We consider asset prices and informational efficiency in a setting where owning stock confers direct utility due to an affect heuristic. Specifically, holding equity in brand name companies or those indulging in “socially desirable” activities (e.g., environmental consciousness) confers positive consumption benefits, whereas investing in “sin stocks” yields the reverse. In contrast to settings based on wealth considerations alone, expected stock prices deviate from expected fundamentals even when assets are in zero net supply. Stocks that yield high direct utility are, on average, more informationally efficient as they stimulate more entry into the market for these stocks and, consequently, more information collection. The analysis also accords with a value effect, high valuations of brand-name stocks, abnormally positive returns on “sin stocks,” volume premia in the crosssection of returns, proliferation of mutual funds and ETFs, and yields untested implications. If, as psychological literature suggests, agents derive greater utility from successful companies by “basking in reflected glory,” then asset prices react to public signals non-linearly, leading to booms and busts, as well as crashes and recoveries.
INTRODUCTION
In recent years, a body of anecdotal and empirical evidence indicates that perceptions of firms’ products influence market valuations and investment choices. For example, the market valuation of Tesla recently exceeded that of Ford Motors, even as Tesla’s sales volume was about 1% of that of Ford.1 Billett, Jiang, and Rego (2014) show that stocks of companies with prestigious brands have higher market/book ratios and earn lower average returns in the cross section. Keloharju, Kn€upfer, and Linnainmaa (2012) show that investors prefer to trade stocks of firms whose products they use. Hong and Kacperczyk (2009) show that “sin” (tobacco, gambling) stocks earn positive abnormal (risk-adjusted) returns. Further, the number of mutual funds in the U.S. rivals or exceeds the number of publicly traded individual firms, a proliferation that seems to emanate from investor tastes, since the funds’ aggregate performance, net of fees, underwhelms.2 In addition, several exchange-traded funds (ETFs) in the U.S. cater to tastes.3 To explain the above phenomena, we consider a setting where the affect associated with the product(s) of a firm (viz. Chaudhuri & Holbrook, 2001) carries over to the decision to invest in a firm’s stock. Finucane, Alhakami, Slovic, and Johnson (2000) characterize this aspect of choice as an affect heuristic, which is the notion that “...images, marked by positive and negative affective feelings, guide judgment and decision making” (p. 3). Thus, we propose, for example, that some users of Apple products have positive affect toward Apple stock due to a favorable inclination toward its products. This reason for holding Apple complements traditional risk-reward considerations.