Ben Branch

• University of Massachusetts Amherst

This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral responses between retail and institutional investors to SAD, n...

Herein we study the optimal mix of value versus growth stocks by integrating the impacts of investment horizon, degree of risk tolerance and sector tilt. First, we find that value stocks continue to outperform growth stocks in the long run in terms of three downside risk measures and risk adjusted returns. Second, we find that for the market to boo...

The bankruptcy framework prevailing in India, traces its roots back to colonial rule. That framework has undergone a number of amendments over the past 200 years, creating a plethora of overlapping and sometimes conflicting articles. The latest attempt at reconciliation of these various Acts was made under the Companies Act, 2013. This paper drives...

This paper is adapted from the keynote address from the Eastern Finance Association's 2014 meeting in Pittsburg, Pennsylvania. We highlight a recidivism problem: about 15% of debtors who emerge as continuing entities under Chapter 11, or are acquired as part of the bankruptcy process, ultimately file for bankruptcy protection again (18.25% when con...

Finance, while largely emerging out of economics, has tended to overlook its own intellectual history. Perhaps because of this lack of attention to its intellectual history, an important connection between two important schools of thought, one in finance (behavioral finance) and the other in economics (institutional economics), appears to have been...

The authors investigate the role and impact of hedge fund investors on bankrupt firms. They find that hedge funds provide liquidity for troubled firms and help enhance their profitability. Comparing the performances in post-bankruptcy to pre-bankruptcy levels, bankrupt firms with hedge fund involvement tend to be in better shape compared to the one...

As we find the different ways that bankrupt companies file their projection information during Chapter 11 process, we incorporate the regression analysis to investigate what firm characteristics lead to the difference, and whether two types of projection, either high quality or low quality, indicates the efficiency of the restructuring plan so that...

We construct index‐tracking portfolios using integer programming and then compare the tracking errors and performances of portfolios formed from an unrestricted and socially screened stock universe. We find that one can construct a portfolio of socially responsible stocks that deliver market performance. Thus, the exclusion of a set of stocks from...

Herein we construct index tracking portfolios for 25, 50, 75 and 100 stocks using integer programming. Then, we compare the tracking error and performance of portfolios formed from an unrestricted and a socially screened stock universe. We consider two weighting schemes for each index portfolio, market capitalization weighting and equally weighting...

An efficient market (weak form) will contain no significant price pattern, a view supported by numerous empirical studies. Our study, however, reveals a very strong negative autocorrelation between overnight and intraday returns, regardless of our sampling method or the methodology in use. Though this poses potential market mispricing opportunities...

We utilize the NBER's patent database to reevaluate relationships between R&D on the one hand and firm fundamentals and stock returns on the other. Patent counts and patent citations are used to measure R&D quantity and quality respectively. Our R&D variables are all positively associated with growth and negatively associated with profitability. Us...

Herein, we examine whether changes in closed-end country fund premiums lead and/or lag management performance. Using a sample of 46 country funds and a time period of 11 years, we find evidence of a significant negative relationship between past performance and current fund premiums, but no support for the hypothesis that past premiums are indicati...

"Herein, we find that the market price of closed-end fund shares tends to increase (decrease) in anticipation of a rise (fall) in the net asset value (NAV). Similarly, an increase (decrease) in the reported NAV tends to be followed by a rise (fall) in the price of the fund's shares. Interestingly, we also find a powerful negative autocorrelation be...

Herein we compare the performance of fundamental weighted indexes to a traditional value weighted index on a back tested basis. Working with the pre-selected S&P 500 components, we isolate the effect of changing the weighing scheme. As an additional test, we transformed the value-weighted measure by taking the square and higher roots in order to te...

Herein we explore merger/risk arbitrage performance for hostile/unsolicited offers. We find that, regardless of merger outcome, the possibility of a sweetened offer generally adds a key risk factor. Moreover, the probability of receiving one or more sweetened offers is found to be significantly related to a merger type thereby signaling information...

This article explores the influence of deal specific factors and market uncertainty on the inclusion of collars in a stock swap offer. First, we find that the use of collars is positively correlated with expected market uncertainty, bidder and target market related risk exposure and bidding competition, and negatively correlated with relative targe...

This article explore the cross sectional variation in risk arbitrage spreads. Factors that are relevant to the probability of deal success (i.e., target termination fees, target resistance, target price run-up, relative size of the target, and arbitrageurs' activity), bid revision (i.e., target's growth opportunity), potential loss when a deal fail...

The need for the efficient use of a country's resources has, in many countries, increased the attention given to the studies of performance evaluation and pre-determination of financial failures. This study seeks to develop a model, that is able to predict which enterprises will fail one, two and three years into the future. Herein we compare the a...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

This book examines the business liquidation process — the winding up of the affairs of a company that has either decided voluntarily to liquidate or been forced to liquidate by its creditors. The contributors to the book have substantial hands-on experience in the reorganization and liquidation of businesses, the sale of business assets, and manage...

Herein we explore the relationships between the NAVs and market prices of closed end funds. We find the types of relationships that we expected. The market does react to the newly released NAV in the expected direction and the market does anticipate the changes in the NAV as expected. By far the most interesting relationship that we have uncovered,...

Since the formal development of the efficient market hypothesis, studies of actual market performance have revealed a number of apparent inconsistencies (anomalies). Herein we report on our discovery of evidence anomaly which relates to the behavior of the overnight and subsequent intraday returns. According to the weak form of the efficient market...

Football is often described as a game of inches. First downs, scoring, and in/out of bound decisions that can determine the outcome of the game may even come down to fractions of an inch. Investing is similar: the difference between outperforming or underperforming the market may be a few fractions of a percentage point. As Ben Branch succinctly st...

Bankruptcy-related costs may be categorized into four areas: (1) Real costs borne by the distressed firm; (2) Real costs borne directly by the claimants; (3) Losses to the distressed firm that are offset by gains to other entities; (4) Real costs borne by parties other than the distressed firm or its claimants. Cost categories 1, 2, and 3 are relev...

Market events of the past ten years have sparked an interest in tactical asset allocation. In the current study we develop and test a model that incorporates currently available information into the tactical asset allocation process. The model provides an estimate of the probabilities that the upcoming market period will be bullish or bearish. Logi...

This article examines two issues regarding the formation and effects of qualitative perceptions offirm performance: First, do firm quantitative measures of performance influence perceptions offirm management quality? Second, do perceived firm qualities affect measures of firm financial performance? We examined data from Fortune magazine's survey of...

The price of a company's stock affects many aspects of its operations, ranging from access to capital to executive compensation to acquisition strategy. Unfortunately, too few managers understand why stock prices are important and what is a high or low price. The authors provide a model of stock price performance, examine the link to business unit...

We study the effects of financial crises on hedge fund risk and show that liquidity, credit, equity market, and volatility are common risk factors during crises for various hedge fund strategies. We also apply a novel methodology to identify the presence of a common latent (idiosyncratic) risk factor exposure across all hedge fund strategies. If th...