【报告主题】Scapegoating:Uncontrollable Factors Disclosure and Disposition Effect
【主讲嘉宾】谢远，福特汉姆大学会计学教授
【报告时间】2024年7月2日 14:00
【报告地点】会计学院108室
【内容提要】
Our hypothesis is that the disposition effect - the tendency to sell winners but hold on to losers - is weaker when investors can attribute their losses to forces beyond their control. We test this hypothesis in the disclosure setting that uncontrollable factor disclosure (UFD) in earnings conference calls serves as a scapegoat. Our results suggest that when a firm with paper loss discloses more uncontrollable factors, its long-run return drift after the earnings call is weakened. This is attributable to the greater sales than purchases by retail investors in the short window immediately after the earnings call. Additional analyses using StockTwits data reinforce these inferences. Our findings are robust to using natural disasters as an instrument for related UFD, falsification tests, and a battery of sensitivity analyses. Collectively, the study’s findings highlight the importance of firm disclosure in counteracting investors’ cognitive bias and improving price efficiency.