Kelly Shue’s research while affiliated with Yale University and other places

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Publications (33)


Noisy Experts? Discretion in Regulation
  • Article

January 2024

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5 Reads

SSRN Electronic Journal

Sumit Agarwal

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Bernardo Morais

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Amit Seru

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Kelly Shue



Potential and the Gender Promotion Gap
  • Article
  • Full-text available

August 2023

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11 Reads

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33 Citations

Academy of Management Proceedings

Download

Do Managers Do Good with Other People’s Money?

April 2023

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41 Reads

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65 Citations

The Review of Corporate Finance Studies

There is mixed evidence on whether the marginal dollar spent on corporate social responsibility is due to agency problems. We propose an approach by modeling how the 2003 dividend tax cut, which increased after-tax insider ownership and better aligned managerial and shareholder interests, affected the marginal dollar spent on firm responsibility. We confirm key predictions of our agency model: following the tax cut, moderate insider-ownership firms experience larger declines in their responsibility ratings and increases in their valuations relative to other firms. We also confirm another implication regarding managerial misalignment using a regression-discontinuity design of close votes on shareholder-governance proposals. (JEL G30, G31, G35) Received February 28, 2022; editorial decision: March 5, 2023 by Editor Andrew Ellul. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.


The Gender Gap in Housing Returns

February 2023

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23 Reads

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31 Citations

The Journal of Finance

Using detailed transactions data across the U.S., we find that single women earn 1.5 percentage points lower annualized returns on housing relative to single men. Forty‐five percent of the gap is explained by transaction timing and location. The remaining gap arises from a 2% gender difference in execution prices at purchase and sale. Consistent with a negotiation channel, women list for less and experience worse negotiated discounts. The gender gap shrinks in tight markets, where negotiation is replaced by quasi‐auctions. Overall, gender differences in housing explain 30% of the gender gap in wealth accumulation for the median household. This article is protected by copyright. All rights reserved



Figure 8. Retail trading activity around splits. This figure shows changes in retail trading frequency around 2-for-1 stock splits. The data come from Odean (1998) and cover all retail trades for a large discount broker (LDB). In Panel A, dots show the number of executed trades by LDB clients. In Panel B, dots show the number of executed buy orders by LDB clients. In Panel C, dots show the number of executed sell orders by LDB clients. The lines come from local linear regressions estimated with a 10-day bandwidth and triangular kernel. The dots show raw means for each event day.
Figure 9. Nature of retail investors holding stocks around splits. This figure shows changes in retail ownership around 2-for-1 stock splits. The data comes from Odean (1998) and covers all retail trades for a large discount broker (LDB). The dots show the mean income of associated LDB accounts that hold the stock around the split event. The inner lines come from local linear regressions estimated with a 10-day bandwidth and triangular kernel. The outer lines represent 95% confidence intervals. The raw data provide income ranges rather than exact income. Following Barber and Odean (2001), we assign income according to the midpoint of an individual's income range. We classify individuals in the top income range (>$125,000) as having an income of $137,500.
Figure 10. Nature of mutual funds holding stocks around splits. This figure shows how the nature of mutual funds holding each stock changes around stock splits. We repeat the analysis in Figure 6, with the log of the average size of mutual funds holding the stock and the log of the average concentration of mutual funds holding the stock as the dependent variables in Panels A and B, respectively. Both averages are weighted by the size of mutual funds' positions in the stock. Concentration is measured as the Herfindahl index of the funds' positions.
Figure 11. Long-run reversal, sorted by lagged price. This figure plots cumulative abnormal returns to holding equal-weighted winner and loser portfolios in each lagged share price quintile. Stocks are first sorted in each year-month t by past cumulative abnormal returns over the interval [t − 36, t − 1]. The winners portfolio consists of all stocks in the top decile of past performance, and the losers portfolio consists of all stocks in the bottom decile of past performance. The winner and loser portfolios are then partitioned into quintiles in terms of lagged share price as of month t − 37, which precedes the period used to categorize winners and losers. Past performance and subsequent cumulative abnormal returns are measured using market-adjusted returns as in De Bondt and Thaler (1985).
Can the Market Multiply and Divide? Non‐Proportional Thinking in Financial Markets

May 2021

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148 Reads

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50 Citations

The Journal of Finance

We hypothesize that investors partially think about stock price changes in dollar rather than percentage units, leading to more extreme return responses to news for lower-priced stocks. Consistent with such non-proportional thinking, we find a doubling in price is associated with a 20-30% decline in volatility and beta (controlling for size/liquidity). To identify a causal price effect, we show that volatility jumps following stock splits and drops following reverse splits. Lower-priced stocks also respond more strongly to firm-specific news. Non-proportional thinking helps explain asset pricing patterns such as the size-volatility/beta relation, the leverage effect puzzle, and return drift and reversals. This article is protected by copyright. All rights reserved




Citations (29)


... Standardizing job descriptions, using structured interviews, and employing diverse hiring panels can help minimize unconscious biases in hiring decisions. Furthermore, establishing clear and transparent criteria for performance evaluations and promotions ensures that all employees are assessed based on their qualifications and contributions rather than their gender (Benson et al., 2024). ...

Reference:

Exploring gender dynamics in the workplace: strategies for equitable professional development
Potential and the Gender Promotions Gap
  • Citing Article
  • January 2024

SSRN Electronic Journal

... While women may enter soil science at similar rates as men, their transition and progression to higher academic ranks is often stymied. Women faculty, in particular, encounter numerous barriers, including receiving fewer research fellowships and grants (Pereda et al., 2022;Reichert et al., 2022), being less likely to be named as authors on articles (Rossiter, 1993;Ross et al., 2022), being assigned less prestigious tasks (Carrigan et al., 2011), being perceived as less competent than men with similar qualifications (Moss-Racusin et al., 2012), and experiencing lower promotion rates even when outperforming men (Benson et al., 2023). ...

Potential and the Gender Promotion Gap

Academy of Management Proceedings

... However, some studies indicate contrary results. In their study, Cheng et al. (2023) discovered that organizations that allocate significant resources toward corporate social responsibility may encounter challenges in maximizing profits because of the added expenses incurred. ...

Do Managers Do Good with Other People’s Money?
  • Citing Article
  • April 2023

The Review of Corporate Finance Studies

... Positive effects from lower cost of capital and/or improved earnings outlook appear to outweigh the potential negative effects from increased investment requirements and uncertainties. While Hartzmark and Shue (2023) conclude from their analysis that "brown firms face very weak financial incentives to become more green" our results point in a different direction: The possibility of higher valuations provides positive incentives for companies to commit to de-carbonization. Second, our results support the carbon premium hypothesis, that is, higher expected returns for brown firms due to investor preferences for green stocks or the higher transition risk of brown stocks (Pastor et al., 2021). ...

Counterproductive Impact Investing: The Impact Elasticity of Brown and Green Firms
  • Citing Article
  • January 2023

SSRN Electronic Journal

... First, this study expands research pertaining to gender disparities in housing transactions. We show that male participants secure more favorable housing prices, especially under the negative influence of mass shootings, in line with findings of gender differences in housing prices (Goldsmith-Pinkham & Shue, 2023;Harding et al., 2003), but in contrast with studies that find no gender differences (Andersen et al., 2021;Seagraves & Gallimore, 2013). Second, the findings add to the body of research dedicated to investigating the impacts of violent crime on the economy (Bannon & Collier, 2003;Camacho & Rodriguez, 2013;Enamorado et al., 2014;Gaibulloev & Sandler, 2008). ...

The Gender Gap in Housing Returns
  • Citing Article
  • February 2023

The Journal of Finance

... More recently, Roger, Roger, and Schatt (2018) show that price forecasts issued by financial analysts deviate more from realized prices for small price stocks, compared to those of large price stocks. 2 Shue and Townsend (2021) show that small price stocks have higher total volatility, idiosyncratic volatility and market betas, and exhibit stronger reaction to news events. The authors argue that investors use non-proportional thinking. ...

Can the Market Multiply and Divide? Non‐Proportional Thinking in Financial Markets

The Journal of Finance

... Concerns about misalignments leading to incompetent performance have long been encapsulated in the Peter principle, a tongue-in-cheek idea that individuals are promoted up a hierarchy to their level of incompetence (Benson et al., 2019;Peter & Hull, 1969). Yet, the current challenge for organizations is a broader one: instead of whether tasks and competence remain aligned as individuals are promoted in a hierarchy, the question is how are they continually aligned? ...

Promotions and the Peter Principle*

Quarterly Journal of Economics

... Results are displayed in Figure C The graphical results suggest small gender differences in the levels of competition: larger values (less competition) are more probable for females, which might suggest more misconduct for female vendors relative to males. We formally evaluate if there are any meaningful 28 differences in the distribution of competition, as defined by the Herfindahl-Hirschman index, for female versus male vendors, utilizing the two-sample Kolmogorov-Smirnov test (Kolmogorov 1933;Smirnov 1933) for the two groups. The approximate and exact p-values for the test are 0.504 and 0.504, and thus fail to reject the null hypothesis that the two distributions are equal at the 5% level (a simple regression of Herfindahl-Hirschman index on an indicator for whether the vendor is a female or not provides a p-value= 0.442; we do not cluster the standard errors to be able to reject the null more often). ...

The Gender Gap in Housing Returns
  • Citing Article
  • January 2020

SSRN Electronic Journal

... If the agent recalls a more compact set, or does not engage in counterfactual thinking at all, then the principal's forecast may be systematically biased. Notably, research on the contrast effect (Pepitone and DiNubile, 1976;Hartzmark and Shue, 2018) and on the effects of anchoring on valuations (Ariely, Loewenstein, and Prelec, 2003) suggests that joint prediction mode may lead principals to forecast larger responses to variable changes than what is actually observed. This leads to the question of how forecasts in a joint prediction mode would compare to those in a separate prediction mode, in which principals-like the 1 agents-evaluate each level of the variable in isolation. ...

A Tough Act to Follow: Contrast Effects in Financial Markets
  • Citing Article
  • July 2016

The Journal of Finance

... More senior roles often also involve coordinating and integrating the work of others (Thompson 1967, Mintzberg 1973, Watkins 2009), requiring a broad understanding of the work that each of those roles performs. Research on the "Peter Principle" notes that people who are promoted into a higher-level role often fail to perform well because the new job requires different skills from the lower-level role that they left (Watkins 2009, Benson et al. 2019. Where employees have broader skills to start with, the mismatch between their existing skills and the demands of the new role should be lower. ...

Promotions and the Peter Principle

Quarterly Journal of Economics