Refine
Year of publication
- 2015 (53) (show_all)
Document Type
- Part of Periodical (32)
- Working Paper (9)
- Doctoral Thesis (6)
- Book (4)
- Report (2)
Language
- English (53) (show_all)
Has Fulltext
- yes (53)
Is part of the Bibliography
- no (53)
Keywords
- Lehrstuhlbericht (29)
- Bibliothek (3)
- Library (3)
- Tax avoidance (3)
- Anlegerinteresse (2)
- Data volume (2)
- Datenvolumen (2)
- Investor attention (2)
- Search engine (2)
- Security measure (2)
Institute
- WHU Financial Accounting & Tax Center (FAccT Center) (5)
- Center of Asset and Wealth Management (4)
- WHU Dean's Office (4)
- WHU Library (3)
- Chair of Business Taxation (2)
- Chair of Intergenerational Economic Policy (2)
- Chair of Sales Management and Business-to-Business Marketing (2)
- Institute of Management Accounting and Control (2)
- Kühne Foundation Endowed Chair of Logistics Management (2)
- Otto Beisheim Endowed Chair of Marketing and Commerce (2)
Modern pathfinders
(2015)
Meaningful metrics
(2015)
Library security
(2015)
This study provides novel insights to the ongoing debate how market efficiency is challenged by investor behavior. Applying search engine data we find that retail investor attention can enhance market efficiency. High attention is associated with better incorporation of idiosyncratic stock information, which we interpret as improved pricing efficiency. This effect is even more pronounced in bullish markets. In bearish markets, however, retail investor attention leads to a deterioration of pricing efficiency, which might be explained with herding behavior. Our evidence holds for a broad sample of European and US stocks.
In search of alpha
(2015)
In this study we develop a trading strategy that exploits limited investor attention. Trading signals for US S&P 500 stocks stocks are derived from Google Search Volume data, taking a long position if investor attention for the corresponding security was abnormally low in the past week. Our strategy generates 19% average annual return and thereby outperforms a simple market buy-and-hold strategy. After controlling for the well-known risk factors, a significant alpha (abnormal return) of 10% p.a. remains. Returns are sufficiently large to cover transaction costs.
This paper examines pricing differences across recognized and disclosed fair values. We build on prior literature by examining two theoretical causes of such differences: lower reliability of the disclosed information, and/or investors’ higher related information processing costs. We examine European real estate firms reporting under International Financial Reporting Standards (IFRS), which require that fair values for investment properties, our sample firms’ key operating asset, either be recognized on the balance sheet or disclosed in the footnotes. Consistent with prior research, we predict and find a lower association between equity prices and disclosed relative to recognized investment property fair values, reflecting a discount assigned to disclosed fair values. We then predict and find that this discount is mitigated by lower information processing costs (proxied via high analyst following), and some support that it is also mitigated by higher reliability (proxied via use of external appraisals). These latter results are documented using subsample analyses to test one attribute (either information processing costs or reliability) while holding the other constant. Overall, these findings are consistent with fair value reliability and information processing costs providing complementary explanations for observed pricing discounts assessed on disclosed accounting amounts.
This paper analyzes whether a dividend tax cut for owner–managers of closely held corporations encourages income shifting, income generation, or both. We use rich Swedish administrative micro data from 2000 to 2011 comprising detailed firm- and individual-level information. We find robust evidence of extensive income shifting across tax bases in response to the 2006 Swedish dividend tax cut. Owner–managers of closely held corporations reclassify earned income as dividend income but do not increase total income. The response is more pronounced for owner–managers with tax incentives and with easier access to income shifting through a high ownership share.
This paper empirically examines why tax avoidance differs across individuals. We use rich Swedish administrative panel data on all taxpayers, with a link between corporate and individual tax returns. Surprisingly, few individuals utilize legal and observable tax avoidance opportunities. Our results show that there are several frictions in tax avoidance participation. In addition to monetary benets from tax avoidance (incentives), the opportunity to participate in tax avoidance (access), as well as information and knowledge about these opportunities (awareness), are important factors for the individual's tax avoidance decision. We further show that information about tax avoidance opportunities spreads within informal networks.