Department of Finance
University of Texas at Austin
1 University Station, B6600
Austin, TX 78712
Information about this author at RePEc
NBER Working Papers and Publications
|May 2015||Crime, Punishment and the Halo Effect of Corporate Social Responsibility|
with Harrison Hong: w21215
Three reasons are often cited for the value of corporate social responsibility: product quality signalling, delegated giving, and the halo effect. Previous tests cannot separate these channels because they focus on consumers, who value all three. We focus on prosecutors, who are only susceptible to the halo effect. Using Foreign Corrupt Practices Act enforcements, we find that social responsibility is associated with 2 million dollars less in fines, though it is uncorrelated with bribe characteristics and cooperation, which should entirely determine sanctions following Becker (1974). We show that this bias is likely a halo effect and not prosecutorial conflict of interest.
|August 2013||Regression Discontinuity and the Price Effects of Stock Market Indexing|
with Yen-cheng Chang, Harrison Hong: w19290
Studies find price increases for additions to the S&P 500 index but no decreases for deletions. Additions come with good earnings news, suggesting these studies are not just measuring an indexing effect. We develop a regression discontinuity design using Russell Indices for cleaner identification. Stocks are assigned to indices based on their end-of-May market capitalizations. Stocks ranked just below 1000 are in the Russell 2000. The indices are value-weighted so these stocks receive index buying whereas those just above 1000 have close to none. Using this random assignment, we find price effects for both additions and deletions.
Published: Regression Discontinuity and the Price Effects of Stock Market Indexing Yen-Cheng Chang Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University Harrison Hong Princeton University Inessa Liskovich Rev. Financ. Stud. (2015) 28 (1): 212-246.