Abhiroop Mukherjee
Assistant Professor
Department of Finance
Hong Kong University of Science & Technology
My research is outlined below. Comments and questions welcome -- please email me.




Published/Accepted Papers:

Law and policy issues:

                   1. Do Debt Contract Enforcement Costs Affect Financing and Asset Structure?  (with Radhakrishnan Gopalan and Manpreet Singh)

                                     -- Review of Financial Studies 29 (10), 2774-2813, October 2016.


What is it about? We use staggered changes in debt contract enforcement costs in India to estimate it's causal effect on financing and asset maturity. Our results provide empirical support for Prof. Douglas Diamond's Presidential Address to the AFA. They also highlight that improvements in contract enforcement may be an important step for emerging markets to attract private investments in long-term infrastructure projects, an urgent need in many countries. 

Invited Presentations: AFA 2015, EFA 2014, FIRS 2014, CICF 2013, ...


                    2. Do Corporate Taxes Hinder Innovation? (with Manpreet Singh and Alminas Zaldokas)
                                   -- Journal of Financial Economics 124 (1), 195–221, April 2017.

                Data on the New Products measure introduced in this paper:        Brief Description & Conditions for Use         Excel data file

What is it about? We exploit staggered changes in US state-level corporate tax rates to show that an increase in taxes reduces future innovation. The paper thus contributes to the heated ongoing debate on fiscal austerity and its consequences for economic growth, a central issue in the US election as well as in many European countries like Italy, Greece and Portugal. Here we also introduce a novel measure of innovation output -- new product introductions -- which we measure using textual analysis of news reports combined with stock market reactions. 


Invited Presentations: EFA 2015, NBER Summer Institute 2014, CEPR 2015, Berkeley Law School (CELS),  European Economic Association Meetings 2014, ABFER 2015, CICF 2014, Cambridge,...

 

Behavioral decision making:

                 4. Prospect Theory and Stock Returns: An Empirical Test (with Nicholas Barberis and Baolian Wang)

                                        --Review of Financial Studies, 29 (11), 3068-3107, November 2016.

What is it about? Paper develops a framework for testing the implications of explicitly parameterized preference specifications -- like Prospect Theory -- in asset markets. We use the framework to test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns, and then evaluate this distribution in the way described by prospect theory. We find empirical support for this prediction in the cross-section of U.S. stock returns, and in 46 international stock markets. 

Invited Presentations: AFA 2014, EFA 2015, IDC Herzliya Conference 2015, Behavioral Economics Annual Meeting 2014, CICF 2014, FIRS 2016, Miami Behavioral Finance Conference, NUS, ...



                 3. Learning About Mutual Fund Managers (with Darwin Choi and Bige Kahraman)

                                        -- Journal of Finance 71 (6), 2809-2859, December 2016.


What is it about? We theoretically model optimal capital allocation into multiple funds managed by the same manager, and empirically show that fund investors seem to be allocating capital in the right direction. Importantly, however, these investors do not seem to be withdrawing enough money following bad performance by their fund managers, indicating incomplete learning.


Invited Presentations: AFA 2014, IDC Herzliya Conference 2014, CICF 2013, London School of Economics, SAIF, ...
                 



Working Papers:


Law and policy issues:


                5. Inside Brokers (with Frank Weikai Li and Rik Sen )


What is it about? We identify the stock broking house that firm insiders trade through, and show that analysts employed at such “inside brokers” have a distinct information advantage over other analysts, even after the trade is publicly disclosed. Our results challenge the common perception that information asymmetry arising from insider trading is only acute before trade disclosure. Unlike many other sources of analyst comparative advantage, the effect we document is stronger after Regulation Fair Disclosure, and hence, still very topical. We show that one source of the broker’s superior information is his knowledge of the nature of a trading instruction, which facilitates inference about the trade’s information content. 


Presentations: EFA, FIRS, ABFER, University of Miami, University of New South Wales, Chinese University of Hong Kong, Indian School of Business, ... 

Upcoming: AFA 2018, FIRS 2017, CICF 2017, ...

             6.  Are Control Rights Less Valuable When Shareholders Lack Information? 

 

What is it about? Activists and journalists argue that allocation of greater control rights to shareholders mitigates the classic agency problem in corporations. I show that the effectiveness of such control rights depends on the cost of acquiring information on a firm. These rights have a positive effect on firm outcomes when information costs are low, but little or no effect when such costs are high. I exploit two natural experiments to provide causal evidence on this interaction: exogenous variation in shareholder rights resulting from Delaware Court rulings in 1995; and, exogenous variation in information costs resulting from brokerage mergers.


Presentations: EFA, FIRS,  Yale, HKUST Corporate Finance Symposium,... 



Behavioral decision making:


                7. The Effect of Superstar Firms on College Major Choice (with Darwin Choi and Dong Lou)


What is it about? Past salient, extreme events in an industry, as proxied by cross-sectional skewness in stock returns or in favorable news coverage, are associated with a disproportionately larger number of college students choosing to major in related fields, even after controlling for the average industry return. This tendency to follow the superstars, however, results in a temporary over-supply of human capital.

 


Revised version of 'Salience and Education Choice.'


Presentations: LSE, Toulouse School of Economics, Adam Smith Conference 2017, CEMFI Madrid, Hong Kong University, Chinese University of Hong Kong, ... 

Upcoming: Stanford (SITE 2017), EFA 2017, ...


Work in Progress:


Law and policy issues:

                Roads and Loans (with Sumit Agarwal and S. Lakshmi Naaraayanan)



Behavioral decision making:


                New Product Innovations and the Stock Market (with Alminas Zaldokas)

                Do Mutual Funds Cater to Time-varying Investor Preferences for Styles? (with Usman Ali)



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Abhiroop Mukherjee,
Mar 30, 2017, 8:01 AM
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Abhiroop Mukherjee,
Sep 19, 2016, 12:59 AM
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Abhiroop Mukherjee,
Nov 29, 2016, 7:27 AM
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Abhiroop Mukherjee,
Dec 8, 2016, 12:15 AM
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Abhiroop Mukherjee,
Oct 1, 2016, 10:25 PM
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Abhiroop Mukherjee,
Nov 20, 2016, 9:34 PM
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Abhiroop Mukherjee,
Oct 4, 2016, 3:04 AM
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Abhiroop Mukherjee,
Mar 27, 2017, 5:18 AM
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Abhiroop Mukherjee,
Oct 7, 2016, 2:28 AM