Judith Swisher

Western Michigan University | WMU · Department of Finance and Commercial Law

Many studies examine the relation between stock performance and CEO characteristics. We approach the topic in a different way, using the alphas generated by the Fama-French three-factor model as the dependent variable in a CEO characteristic model. We find several traits are significantly related to alpha. CEOs who are younger, own a larger fractio...

We introduce a new concept, the Performance Above Replacement (PAR), to assess the value of the CEO. Literature examining whether CEOs matter to the performance of the firm provides inconclusive findings. Using three- and four-factor pricing models, we determine the residual returns for a sample of over 1,000 CEOs from 1997 through 2007. We use the...

This research investigates how prior information affects analyst herding. Results indicate the probability of herding among analysts is greater with large information shocks. Evidence also shows that analysts are more likely to herd in their earnings forecast revisions when their current outstanding forecasts deviate more from the consensus mean an...

This research analyzes bankruptcies, mortgages past due and foreclosures from 1999 - 2009 and finds that bankruptcy filings, mortgages past due, and foreclosures are all positively related to the unemployment rate and negatively related to the change in housing values. Results show that borrowers seek bankruptcy protection at greater rates in state...

Debate persists over the long run impacts of systematic risks versus investor sentiment on asset returns (Griffin & Lemmon, 2002; Vassalou & Xing, 2004). At the center of this controversy is the book-to-market ratio, which our study decomposes into three parts. This approach allows us to better investigate whether book-to-market is a proxy for risk...

This research examines consumer credit outstanding and considers the benefits and risks to the various market participants in light of the financial crisis. The implications of recent regulatory changes regarding consumer credit are also considered. We conclude that there is a substantial risk to financial markets resulting from the amount of outst...

We analyze how the market processes a signaling event by studying a sample of self-tender offers, events often viewed as signals of firm value. By examining changes in the degree of informed trading, we find asymmetric information costs fall at announcement, remain low throughout the event, and increase at offer expiration. By 1 month following exp...

We find that profit warnings result in negative industry effects, which indicate that profit warnings convey negative industry information rather than favorable information for industry rivals about the competition. Multivariate analyses show that profit warnings carry stronger industry signals when the warning firm has a greater stock price adjust...

Active money managers provide returns through two types of activities: stock selection and market timing. This study gives new insights to both, which can improve portfolio returns as well as client understanding of investment performance. We measure the sensitivity of stock returns to several macroeconomic factors and examine the risk-adjusted ret...

A dual-class share structure allows managers or original owners to retain control of a Þrm, while providing public equity Þnancing. In the U.S., a Þrm generally issues superior-voting shares to managers or original owners, and inferior-voting shares to the public. As a result of the separation of control and risk bearing, the potential for agency p...

This paper examines the role the options market plays in the dissemination of private information. We find abnormal volume in the options market for three days prior to management forecasts, controlling for concurrent equity volume. Classifying trades as long or short, we find more informed options volume relative to equity volume (1) with relative...

Our research compares the asymmetric information costs of firms with low levels of institutional ownership to those with high levels. We use self-tender offers as an information event. Our results show that higher institutional ownership, particularly a higher number of institutional investors, is associated with a lower degree of informed trading....

I examine how institutional investors respond to self-tender offers for common shares. I find that institutions sell more shares in larger offers and with higher proration factors. Institutions also sell more shares when officer and director holdings are not at risk in the offers. Banks, investment advisors, and other managers respond similarly, se...

This study considers whether auctioned properties sell for different prices than they would bring through private negotiation. After reviewing the procedural aspects of HUD auctions, we compare the observed prices of properties sold at one such auction with predicted market values based on assessment ratios for the region to detect any discount or...