FIN703: Ph.D. Seminar (Corporate Finance) Professor: S. Ghon Rhee Office: D311B, SCB Office Hours: Please walk in. No appointments necessary. Course Descriptions The purpose of this course is to develop academic research paper(s) that may lead

to your dissertation work. Please identify at least one or two research topics of your preference, which will eventually lead to your dissertation topic and/or your publication before your graduation. I plan to cover two areas in this course: (i) corporate finance; and (ii) broad financial market issues relevant to the United States and Asia-Pacific region.

Reading Assignments Please refer to the attached Reading List. Course Schedule We will meet once a week for a three-hour session (3:00 p.m. – 5:45 p.m.) every

Thursday. You will discuss and present the assigned papers. My lectures are given depending upon the nature of topics covered. From time to time, guest speakers will be invited to deliver their research papers. In the latter part of this coursework, I will assign you to do presentations of your research papers in progress.

Grading Policy Class presentation and participations: 100 points One in-class exam: 100 points Comprehensive Review Paper: 100 points

You are writing a comprehensive review paper on a topic of your choice but accepted by me. It is a 25-page long review paper (not including references), but the last 5 pages will include a couple of ideas for a new paper on the topic. Please remember that the progress of your research papers will dictate the speed of your dissertation research. Your research paper approved by professors of other Ph.D. seminar courses is not acceptable. On the basis of your reading of assigned papers, you are expected to develop your own paper(s) in this course as you prepare your review paper.

Your Target Journals

No. Finance Accounting

Top Four Journals

1 Journal of Finance The Accounting Review

2 Journal of Financial Economics Journal of Accounting and Economics

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3 Review of Financial Studies Journal of Accounting Research

4 Journal of Financial and Quantitative Analysis

Contemporary Accounting Review

Next Tier Journals

5 Financial Management Accounting Horizon

6 Journal of Banking and Finance Auditing: A Journal of Practice and Theory

7 Journal of Corporate Finance Behavioral Research in Accounting

8 Journal of Empirical Finance Journal of Accounting and Public Policy

9 Journal of Financial Intermediation Journal of Accounting, Auditing and Finance

10 Journal of Financial Markets Journal of Business Finance and Accounting

11 Journal of International Money & Finance

Review of Accounting Studies

12 Pacific-Basin Finance Journal Journal of the American Taxation Association

14 Review of Asset Pricing Studies Journal of Management Accounting Research

15 Review of Corporate Finance Studies

International Journal of Accounting

16 Review of Finance National Tax Journal

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Reading List for

FIN703 “Corporate Finance”

Corporate Governance and Value of Cash Holdings Harford, J. Corporate Cash Reserves and Acquisitions. Journal of Finance 54(6)(1999), 1969-1997.

Bates, T. W.; K. Kahle; and R. M. Stulz. Why do U.S. firms hold so much more cash than they used to? Journal of Finance, 64 (2009), 1985–2021. Fresard, L., and C. Salva. The value of excess cash and corporate governance: evidence from US cross-listings. Journal of Financial Economics, 98 (2010), 359–384. Dittmar, A., and J. Mahrt-Smith. Corporate governance and the value of cash holdings. Journal of Financial Economics, 83 (2007), 599–634. Pinkowitz, L.; R. M. Stulz; and R. Williamson. “Does the contribution of corporate cash holdings and dividends to firm value depend on governance? A cross-country analysis.” Journal of Finance, 61 (2006), 2725–2751. Dittmar, A., Mahrt-Smith, J., Servaes, H., 2003. International corporate governance and corporate cash holdings. Journal of Financial & Quantitative Analysis 38, 111-133. Harford, J., Mansi, S.A., Maxwell, W.F., 2008. Corporate governance and firm cash holdings in the US. Journal of Financial Economics 87, 535-555. Role of Blockholders Maug, E. Large shareholders as monitors: is there a trade-off between liquidity and control? Journal of Finance, 53 (1998), 65–98. Admati, A. R., and P. Pfleiderer. The “Wall Street Walk” and shareholder activism: Exit as a form of voice. Review of Financial Studies, 22 (2009), 2645–2685. Bharath, S. T.; S. Jayaraman; and V. Nagar. Exit as governance: an empirical analysis. Journal of Finance, 68 (2013), 2515–2547. Edmans, A. “Blockholder trading, market efficiency, and managerial myopia.” Journal of Finance, 64 (2009), 2481–2513. Stock Liquidity and Cash Holdings Butler, A. W.; G. Grullon; and J. P. Weston. Stock market liquidity and the cost of issuing equity. Journal of Financial and Quantitative Analysis, 40 (2005), 331–348. Denis, D. J., and V. Sibilkov. Financial constraints, investment, and the value of cash holdings. Review of Financial Studies, 23 (2010), 247–269.

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Edmans, A., and G. Manso. Governance through trading and intervention: A theory of multiple blockholders. Review of Financial Studies, 24 (2011), 2395–2428. Edmans, A.; V. Fang; and E. Zur. The effect of liquidity on governance. Review of Financial Studies, 26 (2013), 1443–1482. Fang, V. W.; T. Noe; and S. Tice. Stock market liquidity and firm value. Journal of Financial Economics, 94 (2009), 150–169. Faulkender, M., and R. Wang. Corporate financial policy and the value of cash. Journal of Finance, 61 (2006), 1957–1990. Jayaraman, S. and T. Milbourn. The role of stock liquidity in executive compensation. Accounting Review, 87 (2012), 537–563. Lang, L.H.P., Stulz, R.M., and Walkling, R.A. A Test of Free Cash Flow Hypothesis: A Case of Bidder Returns. Journal of Financial Economics 29(2) (1991), 315-335. Oler, D. K. Does Acquirer Cash Level Predict Post-Acquisition Returns? Review of Accounting Studies 13(4) (2008), 479-511. Simutin, M. Excess Cash and Stock Returns. Financial Management 39(3) (2010). 1197-1222. Duchin, R.A.N., 2010. Cash holdings and corporate diversification. Journal of Finance 65, 955-992. Kalcheva, I., Lins, K.V., 2007. International evidence on cash holdings and expected managerial agency problems. Review of Financial Studies 20, 1087-1112. Chen, Yangyang Chen, Duong, Huu Nhan, Rhee, S. Ghon, and Veeraraghavan, Madhu, 2015. Stock Liquidity and the Value of Cash Holdings, Monash University WP. Chen, Yenn-Ru, Huang, Yu-Lin, Rhee, S. Ghon, and Weng, Chia-Hsiang, 2016. Can Saving Cash from Equity Issuance Mitigate the Agency Problem of Excess Cash Holdings? Evidence from Mergers and Acquisitions, National Chengchi University WP. Corporate Income Taxes and Cash Holdings Foley, C.F., Hartzell, J.C., Titman, S., Twite, G., 2007. Why do firms hold so much cash? A tax-based explanation. Journal of Financial Economics 86, 579-607. Michelle Hanlon, Edward L. Maydew, and Daniel Saavedra, 2013, Understanding Why Firms Hold So Much Cash: A Tax Risk Explanation, MIT WP. Rego, S., 2003. Tax avoidance activities of U.S. multinational corporations. Contemporary Accounting Research 20, 805–833.

Campbell, J. L., D. S. Dhaliwal, L. K. Krull, and C. M. Schwab, 2012, U.S. Multinational Corporations’ Foreign Cash Holdings: An Empirical Estimate and Its Valuation Consequences. University of Arizona WP.

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Chen, S., Chen, X., Cheng, Q., Shevlin, T., 2010. Are family firms more tax aggressive than non-family firms? Journal of Financial Economics 95, 41–61. Dhaliwal, D., S. Huang, W. Moser, and R. Pereira. 2011. Corporate tax avoidance and the level and valuation of firm cash holdings. University of Arizona WP. Gallemore, J., E. L. Maydew, and J. R. Thornock. 2014. The reputational costs of tax avoidance and the under-sheltering puzzle. Contemporary Accounting Research 31(4), 1103-1133. Pinkowitz, L., R. M. Stulz, and R. Williamson. 2012. Multinationals and the high cash holdings puzzle. Ohio State University WP. Lee Pinkowitz, René M. Stulz, and Rohan Williamson. "Do U.S. Firms Hold more Cash than Foreign Firms." Forthcoming in Review of Financial Studies (2015). Corporate Innovations Yangyang Chen, Edward J. Podolski, S. Ghon Rhee, and Madhu Veeraraghavan, 2014, Local gambling preferences and corporate innovative success, Journal of Financial and Quantitative Analysis 49(1), 77-106. Aghion, P., Bloom, N., Blundell, R., Griffith, R., Howitz, P. Competition and innovation: An inverted-U relationship. Quarterly Journal of Economics 120 (2005), 701-728. Fang, V., Tian, X., Tice, S. Does stock liquidity enhance or impede firm innovation? Journal of Finance (2014), 69(5), 2085–2125. Galasso, A., Simcoe, T. CEO overconfidence and innovation. Management Science 57 (2011), 1469 - 1484. He, J., Tian, X. The dark side of analyst coverage: The case of innovation. Journal of Financial Economics 109 (2013), 856-878. Hirshleifer, D., Low, A., Teoh, S.H. Are overconfident managers better innovators? Journal of Finance 67 (2012), 1457-1498. Cornaggia, J., Mao, Y., Tian, X., and Wolfe, B., Does Banking Competition Affect Innovation? Journal of Financial Economics, 115(1) (2015 ), 189-209.

Kumar, A. “Who gambles in the stock market?” Journal of Finance 64 (2009), 1889-1933. Kumar, A., Page, J., Spalt, O. Religious beliefs, gambling attitudes, and financial market outcomes. Journal of Financial Economics 102 (2011), 671-708. Malmendier, U., Tate, G. Who makes acquisitions? CEO overconfidence and the market’s reaction. Journal of Financial Economics 89 (2008), 20-43. Bena, J., and Li, K. Corporate Innovations and Mergers and Acquisitions. Journal of Finance 69 (2014), 1923-1960.

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Guan-Ying Huang, Henry Huang, and S. Ghon Rhee, 2016, Real Asset Liquidity and Corporate Innovation, National Central University WP. Managerial Short-Term Myopia and Earnings Management

Yangyang Chen, S. Ghon Rhee, Madhu Veeraraghavan, and Leon Zolotoy, 2015, Stock Liquidity and Managerial Short-Termism, 2015, Journal of Banking and Finance 60. 44-59. Aboody, D., J. Hughes; and J. Liu. Earnings quality, insider trading, and cost of capital. Journal of Accounting Research, 43 (2005), 651-673. Asker, J.; J. Farre-Mensa; and A. Ljungqvist. “Corporate Investment and Stock Market

Listing: A Puzzle?” Review of Financial Studies 28, no. 2 (February 2015): 342–390. Bushee, B. The influence of institutional investors on myopic R&D investment behaviour. The Accounting Review, 73 (1998), 305-333. Bushee, B. Do Institutional Investors Prefer Near-Term Earnings over Long-Run Value? Contemporary Accounting Research, 18 (2001), 207-246. Chang, E. C.; T. Lin; and X. Ma. 2013. Governance Through Trading: Does Institutional Trading Discipline Empire Building and Earnings Management? University of Hong Kong WP. Cohen, A., and P. Zarowin. Accrual-Based and Real Earnings Management Activities Around Seasoned Equity Offerings. Journal of Accounting and Economics, 50 (2010), 2–19. Coles, L.; D. Daniel; and L. Naveen. Managerial Incentives and Risk-Taking. Journal of Financial Economics, 79 (2006), 431-468. Core, J., and W. Guay. Estimating the Value of Employee Stock Option Portfolios and Their Sensitivities to Price and Volatility. Journal of Accounting Research, 40 (2002), 613-630. Cornett, M. M.; A. J. Marcus; and H. Tehranian. Corporate Governance and Pay for Performance: The Case of Earnings Management. Journal of Financial Economics, 87 (2008), 357-373. Dechow, P., and I. Dichev. The Quality of Accruals and Earnings: The Role of Accrual Estimation Errors. The Accounting Review, 77 (2002), 35-59. Dechow, P.; R. Sloan; and P. Sweeney. “Detecting Earnings Management.” The Accounting Review, 70 (1995), 193-225. Dechow, P.; R. Sloan; and P. Sweeney. Causes and Consequences of Earnings Manipulation: an Analysis of Firms Subject to Enforcement Actions by the SEC. Contemporary Accounting Research 13 (1996), 1-36.

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Dou, Y.; O-K. Hope; W. B. Thomas; and Y. Zou. “Blockholder Exit Threats and Financial Reporting Quality” Working Paper, forthcoming in Contemporary Accounting Review (2017). Karpoff, J. M.; S. Lee; and G. Martin. The Costs to Firms of Cooking the Books. Journal of Financial and Quantitative Analysis, 43 (2008), 581–612. Kim, D., and Y. Qi. Accruals quality, stock returns, and macroeconomic conditions. The Accounting Review, 85 (2010), 937-978. Klein, A. Audit Committee, Board of Director Characteristics, and Earnings Management. Journal of Accounting and Economics, 33 (2002), 375-400. Kothari, P., Leone, J., and Wasley, E. Performance-Matched Discretionary Accruals Measures. Journal of Accounting and Economics, 39 (2005), 163-197. Kothari, S. P.; N. Mizik; and S. Roychowdhury. Managing for the Moment: The Role of Real Activity Versus Accruals Earnings Management in SEO Valuation. WP (2012). Lang, H., and G. Maffett. Transparency and Liquidity Uncertainty in Crisis Periods. Journal of Accounting and Economics, 52 (2011), 101-125. Lang, H., Lins, K., and Maffett, G. Transparency, Liquidity and Valuation: International Evidence on When Transparency Matters Most. Journal of Accounting Research, 50 (2012), 729-774. Matsumoto, D. Management’s Incentives to Avoid Negative Earnings Surprises. The Accounting Review, 77 (2002), 483-514. Rangan, S. Earnings Management and the Performance of Seasoned Equity Offerings.”Journal of Financial Economics, 50 (1998), 101-122. Roychowdhury, S. Earnings Management Through Real Activities Manipulation. Journal of Accounting and Economics, 42 (2006), 335-370. Stein, J. Takeover threats and managerial myopia. Journal of Political Economy, 96 (1988), 61-80. Stein, J. Efficient capital market, inefficient firms: A model of myopic corporate behaviour. Quarterly Journal of Economics, 104 (1989), 655-669. Yu, F. Analyst Coverage and Earnings Management. Journal of Financial Economics, 88 (2008), 245-271. Zang, A. “Evidence on the Trade-Off between Real Activities Manipulation and Accrual-Based Earnings Management.” The Accounting Review, 87 (2012), 675-703.

Culture/Religion and Financial Decisions

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Yangyang Chen, Paul Y. Dou, S. Ghon Rhee, Cameron Truong and Madhu Veeraraghavan, 2015, National Culture and Corporate Cash Holdings around the World. 2015, Journal of Banking and Finance 50(1), 1-18. Yangyang Chen, Zoltan Murgulov, S. Ghon Rhee, and Madhu Veeraraghavan, 2017, Religious Beliefs and Local Government Financing, Investment, and Cash Holding Decisions, forthcoming in Journal of Empirical Finance. Chui, A.C.W., Lloyd, A.E., Kwok, C.C.Y., 2002. The determination of capital structure: Is national culture a missing piece to the puzzle? Journal of International Business Studies 33, 99-127.36 Chui, A.C.W., Titman, S., Wei, K.C.J., 2010. Individualism and momentum around the world. Journal of Finance 65, 361-392. Eun, C.S., Wang, L., Xiao, S., 2015. Culture and R2, Journal of Financial Economics 115 283–303. Fresard, L., 2010. Financial strength and product market behavior: The real effects of corporate cash holdings. Journal of Finance 65, 1097-1122. Griffin, D., Guedhami, O., Kwok C., Li, K., and Liang, S., 2015, National Culture, Corporate Governance Practices, and Firm Value, Working Paper. Li, K., Griffin, D., Yue, H., Zhao, L., 2013. How Does Culture Influence Corporate Risk-Taking? Journal of Corporate Finance 23, 1-22. Shao, L., Kwok, C., Guedhami, O., 2010. National culture and dividend policy. Journal of International Business Studies 41, 1391-1414. Stulz, R., Williamson, R., 2003. Culture, openness, and finance. Journal of Financial Economics 70, 313-349. Tang, L., Koveos, P.E., 2008. A framework to update Hofstede’s cultural value indices: economic dynamics and institutional stability. Journal of International Business 39, 1045-1063. Yangyang Chen, Edward J. Podolski, S. Ghon Rhee, and Madhu Veeraraghavan, 2017, Do Progressive Social Norms Affect Economic Outcomes? Evidence from Corporate Takeovers, forthcoming in Journal of Empirical Finance. Hilary, G., Hui, K. “Does religion matter in corporate decision making in America?” Journal of Financial Economics 93 (2009), 455-473. Ahern, Kenneth, Daniele Daminelli, and Cesare Fracassi, 2013, Lost in translation? The effect of cultural values on mergers around the world. Journal of Financial Economics, forthcoming. Aktas, Nihat, Eric de Bodt, Helen Bollaert, and Richard Roll, 2012, CEO narcissism and the takeover process: From private initiation to deal completion. UCLA Anderson WP.

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Baker, Malcolm, Xin Pan, and Jeffrey Wurgler, 2012, The effect of reference point prices on mergers and acquisitions. Journal of Financial Economics 106, 49-71. Deshmukh, Sanjay, Anand M. Goel, and Keith M. Howe, 2012, CEO overconfidence and dividend policy, Unpublished working paper. DePaul University. Dodd, Peter, 1980, Merger proposals management discretion and stockholder wealth, Journal of Financial Economics 8, 105-138. Ferris, Stephen, Narayanan Jayaraman, and Sanjiv Sabherval, 2013, CEO overconfidence and international merger and acquisition activity, Journal of Financial and Quantitative Analysis, 48(1), 137-164. Grullon, Gustavo, George Kanatas, and James Weston, 2010, Religion and corporate (mis)behavior, Rice University WP. Hilary, Gilles, and Kai Wai Hui, 2009, Does religion matter in corporate decision making in America?, Journal of Financial Economics 93, 455-473. Huberman, Gur, 2001, Familiarity breeds investment, Review of Financial Studies 14, 659-680. Kumar, Alok, Jeremy Page, and Oliver G. Spalt, 2011, Religious beliefs, gambling attitudes, and financial market outcomes, Journal of Financial Economics 102, 671-708. Malmendier, Ulrike, and Geoffrey Tate, 2005, CEO overconfidence and corporate investment, Journal of Finance 60, 2661-2700. Malmendier, Ulrike, and Geoffrey Tate, 2008, Who makes acquisitions? CEO overconfidence and the market’s reaction, Journal of Financial Economics 89, 20-43. Moeller, Sara B., Frederik P. Schlingemann, and Rene M. Stulz, 2005, Wealth destruction on a massive scale? A study of acquiring-firm returns in the recent merger wave, Journal of Finance 60, 757-782. Anchor Prices

Bae, Kee-Hong, Kang, Jisok and Rhee, S. Ghon, 2016, Nominal Stock Price Anchors: A Global Phenomenon? Working Paper. Weld, W., R. Michaely, R. Thaler, and S. Benartzi, 2009, “The Nominal Share Price Puzzle,” Journal of Economic Perspectives 23, 121-142.

Baker, M., R. Greenwood, and J. Wurgler, 2009, “Catering Through Nominal Share Prices,” Journal of Finance 64, 2559 – 2590.

Baker, M., X. Pan, and J. Wurgler, 2012, “The Effect of Reference Point Prices on Mergers and Acquisitions,” Journal of Financial Economics 106, 49-71.

Chang, E., Y. Luo, and J. Ren, 2014, “Ex-Day Returns of Stock Distributions: An Anchoring Explanation,” University of Hong Kong, Working Paper.

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Cen, L., G. Hilary, and K. Wei, 2013, “The Role of Anchoring Bias in the Equity Market: Evidence from Analysts’ Earnings Forecasts and Stock Returns,” Journal of Financial and Quantitative Analysis 48 (1), 47-76.

Dyl, E., and W. Elliott, 2006, “The Share Price Puzzle,” Journal of Business 79, 2045-2066.

George, T., and C-Y. Hwang, 2004, “The 52-week High and Momentum Investing,” Journal of Finance 59, 2145-2176.

Li, J., and J. Yu, 2012, “Investor attention, Psychological Anchors, and Stock Return Predictability,” Journal of Financial Economics 104, 401–409.

Penny Stocks Qianqiu Liu, S. Ghon Rhee, and Liang Zhang, 2013, Too Good to Ignore? A Primer on Listed Penny Stocks, University of Hawaii WP. Ying Duan, Gang Hu, R. David McLean, 2010, Costly arbitrage and idiosyncratic risk: Evidence from short sellers, Journal of Financial Intermediation 19, 564–579.

Paul Asquith, Parag A. Pathak, and Jay R. Ritter, 2005, Short interest, institutional ownership, and stock returns, Journal of Financial Economics 78, 243–276. Stefan Nagel, 2005, Short sales, institutional investors and the cross-section of stock returns, Journal of Financial Economics 78, 277 - 309. Rodney D. Boehme, Bartley R. Danielsen, and Sorin M. Sorescu, 2006, Short-Sale Constraints, Differences of Opinion, and Overvaluation, Journal of Financial and Quantitative Analysis 41, 455-487. Ekkehart Boehmer, Charles M. Jones, and Xiaoyan Zhang, 2013, Shackling Short Sellers: The 2008 Shorting Ban, Review of Financial Studies, 1363-1400. Ekkehart Boehmer, Charles M. Jones, and Xiaoyan Zhang, 2008, Which Shorts Are Informed? Journal of Finance 63, 491-527. Ang, Andrew, Assaf A. Shtauber, and Paul C. Tetlock, 2013, Asset pricing in the dark: The cross section of OTC stocks, Review of Financial Studies 26, 2985-3028. Christophe, Stephen E., Michael G. Ferri, and James J. Angel, 2004, Short-selling prior to earnings announcements, Journal of Finance 59, 1845–1876. Francis, Jennifer, Mohan Venkatachalam, and Yun Zhang, 2005, Do short sellers convey information about changes in fundamentals or risk? Duke University WP. Desai, Hemang, Srinivasan Krishnamurthy, and Kumar Venkataraman, 2006, Do short sellers target firms with poor earnings quality? Evidence from earnings restatements, Review of Accounting Studies 11, 71–90. Ang, Andrew, Assaf A. Shtauber, and Paul C. Tetlock, 2013, Asset pricing in the dark: The cross section of OTC stocks, Review of Financial Studies 26, 2985-3028.

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Eraker, Bjørn and Mark Ready, 2015, Do investors overpay for stocks with lottery-like payoffs? An examination of the returns on OTC stocks, Journal of Financial Economics 115, 486-504. Leuz, C., Triantis, A., and Wang, T., 2008, Why do firms go dark? Causes and economic consequences of voluntary SEC deregistrations, Journal of Accounting and Economics 45, 181–208. Dividend Decisions

Becker, Bo, Zoran Ivković And Scott Weisbenner, Local dividend clienteles, Journal of Finance 66 (2011), 655-683.

Brav, Alone, John R. Graham, Campbell R. Harvey, and Roni Michaely, 2005, Payout policy in the 21st century, Journal of Financial Economics 77, 483-527. Bushee, Brian J. and Gretory S. Miller, 2012 Investor relations, firm visibility, and investor following, The Accounting Review 87, 867-897.

Dhaliwal, Dan, and Oliver Zhen Li., 2006, Investor tax heterogeneity and Ex–dividend day trading volume, Journal of Finance 61, 463–90. Elton, Edwin J., Martin J. Gruber, and Christopher R. Blake, 2005, Marginal stockholder tax effects and ex–dividend day price behavior: Evidence from taxable versus nontaxable closed–end funds, Review of Economics and Statistics 87, 579–86.

Graham, J. R. and Kumar, A. Do dividend clienteles exist? Evidence on dividend preferences of retail investors, Journal of Finance 61, 2006, 1305-1336. Lehavy, Reuven and Richard G. Sloan, 2008, Investor recognition and stock returns, Review of Accounting Studies 13, 327-361. Michaely, Roni, and Jean-Luc Vila, 1995, Investors’ heterogeneity, prices, and volume around the ex-dividend day, Journal of Financial and Quantitative Analysis 30, 171–198. Michaely, Roni, and Jean-Luc Vila, 1996, Trading volume with private valuation: Evidence from the ex-dividend day, Review of Financial Studies 9, 471–509. Whitworth, J., & Rao, R. P. (2010). Do Tax Law Changes Influence Ex-Dividend Stock Price Behavior? Evidence from 1926 to 2005. Financial Management 39(1), 419-445. Yi, Z., Farrell, K.A., and Brown, T.A.: Ex-dividend day price and volume: The case of 2003 dividend tax cut, National Tax Journal 61, 2008, 105-127. Baker, M., Wurgler, J., 2004. Appearing and disappearing dividends: The link to catering incentives. Journal of Financial Economics 73, 271-288. Bliss, B.A., Cheng, Y., Denis, D.J., 2015. Corporate payout, cash retention, and the supply of credit: Evidence from the 2008–2009 credit crisis. Journal of Financial

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Economics 115, 521-540 Brav, A., Graham, J.R., Harvey, C.R., Michaely, R., 2005. Payout policy in the 21st century. Journal of Financial Economics 77, 483-527 Campbell, J.Y., Lettau, M., Malkiel, B.G., Xu, Y., 2001. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 56, 1-43 Christie, W.G., 1994. Are Dividend Omissions Truly the Cruelest Cut of All? Journal of Financial and Quantitative Analysis 29, 459-480. DeAngelo, H., DeAngelo, L., Stulz, R.M., 2006. Dividend policy and the earned/contributed capital mix: a test of the life-cycle theory. Journal of Financial economics 81, 227-254. Denis, D.J., Osobov, I., 2008. Why do firms pay dividends? International evidence on the determinants of dividend policy. Journal of Financial Economics 89, 62-82 Fama, E.F., French, K.R., 2001. Disappearing dividends: changing firm characteristics or lower propensity to pay? Journal of Financial economics 60, 3-43 Grullon, G., Michaely, R., 2002. Dividends, share repurchases, and the substitution hypothesis. Journal of Finance 57, 1649-1684. Guay, W., Harford, J., 2000. The cash-flow permanence and information content of dividend increases versus repurchases. Journal of Financial Economics 57, 385-415. Hoberg, G., Prabhala, N.R., 2009. Disappearing dividends, catering, and risk. Review of Financial Studies 22, 79-116. Hu, A., Kumar, P., 2004. Managerial Entrenchment and Payout Policy. Journal of Financial and Quantitative Analysis 39, 759-790. Jagannathan, M., Stephens, C.P., Weisbach, M.S., 2000. Financial flexibility and the choice between dividends and stock repurchases. Journal of Financial Economics 57, 355-384. John, K., Knyazeva, A., Knyazeva, D., 2015. Governance and Payout Precommitment. Journal of Corporate Finance 33, 101-117. La Porta, R., Lopez-de-Silanes, F., Shleifer, A., Vishny, R.W., 2000. Agency Problems and Dividend Policies around the World. Journal of Finance 55, 1-33. Masulis, R.W., Wang, C., Xie, F., 2007. Corporate governance and acquirer returns. Journal of Finance 62, 1851-1889. Michaely, R., Roberts, M.R., 2012. Corporate dividend policies: Lessons from private firms. Review of Financial Studies 25, 711-746. Skinner, D.J., 2008. The evolving relation between earnings, dividends, and stock repurchases. Journal of Financial Economics 87, 582-609.

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Bhattacharya, D., Li, W-H, and Rhee, S. G., 2016, Does Better Corporate Governance Encourage Higher Payout? Risk, Agency Costs, and Dividend Policy, National Central University WP. Residual Momentum Strategies Rosita P. Chang, Kuan-Cheng Ko, Shinji Nakano, and S. Ghon Rhee, 2016, Residual Momentum and Investor Underreaction in Japan, University of Hawaii Working Paper. Asness, C.; T. Moskowitz; and L. Pedersen, 2013, Value and Momentum Everywhere. Journal of Finance, 68 (2013), 929–985. Avramov, D.; S. Cheng; and A. Hameed, 2017, Time-varying Liquidity and Momentum Profits. Forthcoming in Journal of Financial and Quantitative Analysis Avramov, D., and T. Chordia, 2006, Asset Pricing Models and Financial Market Anomalies. Review of Financial Studies 19, 1001–1040. Barroso, P., and P. Santa-Clara, 2015, Momentum has Its Moments. Journal of Financial Economics, 116, 111–120. Blitz, D.; J. Huij; and M. Martens, 2011, Residual Momentum. Journal of Empirical Finance, 18, 506–521. Brennan, M. J.; T. Chordia; and A. Subrahmanyam, 1998, Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns, Journal of Financial Economics, 49, 345–373. Byun, S. J.; S. S. Lim; and S. H. Yun, 2017, Continuing Overreaction and Stock Return Predictability. Forthcoming Journal of Financial and Quantitative Analysis Da, Z.; U. G. Gurun; and M. Warachka, 2014, Frog in the Pan: Continuous Information and Momentum. Review of Financial Studies, 27, 2171–2218. Grundy, B. D., and J. S. Martin. “Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing.” Review of Financial Studies, 14 (2011), 29–78. Gutierrez, R. C., and C. A. Prinsky. “Momentum, Reversal, and the Trading Behaviors of Institutions.” Journal of Financial Markets, 10 (2007), 48–75. Zhang, K. F. “Information Uncertainty and Stock Returns.” Journal of Finance, 61 (2006), 105–137. Non-Parametric Momentum Strategies Tsung-Yu Chen, Pin-Huang Chou, Kuan-Cheng Ko, S. Ghon Rhee, 2016, Nonparametric Momentum Strategies, National Central University WP. Ali, A., Hwang, L.-S., Trombley, M.A., 2003. Arbitrage risk and the book-to-market anomaly. Journal of Financial Economics 69, 355-373.

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Antoniou, C., Doukas, J.A., Subrahmanyam, A., 2013. Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis 48, 245-275. Bali, T.G., Cakici, N., Whitelaw, R.F., 2011. Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics 99, 427-446. Barber, B.M., Odean, T., 2008. All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21, 785-818. Barberis, N., 2013. Thirty years of prospect theory in economics: A review and assessment. Journal of Economic Perspectives 27, 173-195. Barberis, N., Shleifer, A., Vishny, R.W., 1998. A model of investor sentiment. Journal of Financial Economics 49, 307-343. Bordalo, P., Gennaioli, N., Shleifer, A., 2013. Salience and asset prices. American Economic Review 103, 623-628. Chen, N.-F., Roll, R., Ross, S.A., 1986. Economic forces and the stock market. Journal of Business 59, 383-403. Daniel, K., Hirshleifer, D., Subrahmanyam, A., 1998. Investor psychology and security market under- and over-reactions. Journal of Finance 53, 1839-1885. George, T.J., Hwang, C.-Y., 2004. The 52-week high and momentum investing. Journal of Finance 5, 2145-2176. George, T.J., Hwang, C.-Y., 2007. Long-term return reversals: Overreaction or taxes? Journal of Finance 6, 2865-2896. Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 43, 65-91.

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