T. Clifton Green

Economic News and Bond Prices: Evidence from the U.S. Treasury Market

This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-ask spreads. We find that 17 public news releases, as measured by the surprise in the announcced quantity, have a significant impact on the price of the following instruments: a three-month bill, a two-year note, a 10-year, anda 30-year bond. These effects vary significantly according to maturity. Public news can explain a substantial fraction of price volantility in the after math of announcements, and the adjustment to news generally occurs within one minute after the announcement. We document significant and persistent increases in volatility and trading volume after the announcements. Bidask spreads, on the other hand, widen at the timeof the announcements, but then revert to normal values after five to 15 minutes. The implications for yield curve modeling and for the microstructure of bond markets.

Market efficiency in real time

The Morning Call and Midday Call segments on CNBC TV provide a unique opportunity to study the efficient market hypothesis. The segments report analysts’ views about individual stocks and are broadcast when the market is open. We find that prices respond to reports within seconds of initial mention, with positive reports fully incorporated within one minute. Trading intensity doubles in the first minute, with a significant increase in buyer(seller-) initiated trades after positive (negative) reports. Traders who execute within 15 seconds of the initial mention make small but significant profits by trading on positive reports during the Midday Call. r 2002 Elsevier Science B.V. All rights reserved. JEL classification: G14

Tax and Liquidity Effects in Pricing Government Bonds

Daily data from intra-dealer government bond brokers is examined for tax and liquidity effects. Utilizing actual trade prices rather than dealer estimated quotes gives us a more accurate measure of market clearing prices. Daily trading volume is also available, which provides us with a robust measure of liquidity. We use two approaches, one of which is new, to create cash flow matching portfolios of similar securities and look for pricing discrepancies associated with liquidity or tax effects. We also look for evidence of tax and liquidity effects by including a liquidity term when fitting a cubic spine to the after-tax yield curve. We find evidence of tax timing options and liquidity effects. However, the effects are much smaller than previously reported and the effects of liquidity are primarily due to high volume bond with long maturities.

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

This paper examines newly-available intra-day data from the inter-dealer government bond market to investigate the effects of economic-news announcements on prices, trading volume, and bid-ask spreads. The use of intra-day price data together with data on market expectations allows us to obtain new and different results relative to previous studies. We find a total of seventeen economic announcements to have a significant impact on the price of at least on

Initial Public Offerings as Lotteries: Skewness Preference and First-Day Returns

We find that initial public offerings (IPOs) with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger during periods of high investor sentiment and is related to differences in skewness across industries as well as to time-series variation in the level of skewness in the market. IPOs with high expected skewness earn more negative abnormal returns in the following one to five years. High expected skewness is also associated with a higher fraction of small-sized trades on the first day of trading, which is consistent with a greater shift in holdings from institutions to individuals. The results suggest that first-day IPO returns are related to a preference for skewness. This paper was accepted by Brad Barber, Teck Ho, and Terrance Odean, special issue editors.

Gender and Job Performance: Evidence from Wall Street

We study the relation between gender and job performance among brokerage firm equity analysts. Womens representation in analyst positions drops from 16% in 1995 to 13% in 2005. We find women cover roughly 9 stocks on average compared to 10 for men. Womens earnings estimates tend to be less accurate. After controlling for forecast characteristics, the difference in accuracy is roughly equivalent to four years of experience. Despite reduced coverage and lower forecast accuracy, we find women are significantly more likely to be designated as All-Stars, which suggests they outperform at other aspects of the job such as client service.

Company Name Fluency, Investor Recognition, and Firm Value

Research from psychology suggests that people evaluate fluent stimuli more favorably than similar information that is harder to process. Consistent with fluency affecting investment decisions, we find that companies with short, easy to pronounce names have higher breadth of ownership, greater share turnover, lower transaction price impacts, and higher valuation ratios. Corporate name changes increase fluency on average, and fluency-improving name changes are associated with increases in breadth of ownership, liquidity, and firm value. Name fluency also affects other investment decisions, with fluently named closed-end funds trading at smaller discounts and fluent mutual funds attracting greater fund flows.

Broker-Hosted Investor Conferences

Broker-hosted investor conferences are invitation-only events that allow select clients to interact with firm management. We find that firms that attend investor conferences tend to have high intangible assets, consistent with greater demand for management access among hard-to-value firms. Using a sample of institutional transactions, we find that investor conferences have a significant effect on broker revenues in the days following the event, and the effect is larger when conference disclosures are more informative, which suggests investors reward brokers for facilitating informative disclosures. Our results indicate that brokerage research extends beyond the distribution of published reports and establish investor conferences as a distinct research service.

It Pays to Be Extraverted: Executive Personality and Career Outcomes

Psychology research identifies extraversion as the personality trait most closely associated with leadership emergence. We examine executive extraversion, as measured by speech patterns during conference calls, and find extraverts experience significant career benefits. Controlling for executive and firm characteristics, including firm fixed effects, we find that extraverted CEOs and CFOs earn 6-9 percent higher salaries. Moreover, extraverted CEOs are less likely to experience job turnover, have longer tenures, serve on more outside boards, and hold directorships at larger firms, and extraverted CFOs are more likely to be promoted to CEO. Executive extraversion is also linked with firm outcomes. Analyzing a sample of manager transitions, we find that increases in CEO extraversion are associated with improvements in investor recognition and sales growth. Further, extraverted CEOs are associated with higher acquisition announcement returns. Our findings highlight the role of personality traits in explaining executive career and firm outcomes.