Sorin M. Sorescu
Texas A&M University
FinanceFinancial economicsDividendEmpirical researchCapital marketNon-qualified stock optionBusinessEconometricsDebentureActuarial scienceEconomicsCapital asset pricing modelEquity (finance)Statistical dispersionStock marketPopulationStock priceArgumentReputationEvent (computing)Monetary economicsShort interest ratioStock (geology)Financial systemVolatility (finance)
46Publications
22H-index
2,500Citations
Publications 36
Newest
#1Stefanos G. Baratsas (A&M: Texas A&M University)H-Index: 2
#2Alexander M. Niziolek (A&M: Texas A&M University)H-Index: 15
Last. Efstratios N. Pistikopoulos (A&M: Texas A&M University)H-Index: 74
view all 8 authors...
Abstract null null Energy, monetary and fiscal policies are going to play a crucial role towards the broad transformation of global energy. The design and optimization of these policies as well as the efficacy in achieving the desirable results require quantitative approaches. In this study, we extend the methodology of our novel quantitative framework, the Energy Price Index (EPIC) that represents the average price of energy in the US, to the design, optimization and assessment of energy-intell...
Source
#1Yong Chen (A&M: Texas A&M University)H-Index: 15
#2Wenting Dai (A&M: Texas A&M University)H-Index: 1
Last. Sorin M. Sorescu (A&M: Texas A&M University)H-Index: 22
view all 3 authors...
We examine commodity trading advisors (CTAs) to understand the causes and consequences of the financialization of commodity markets. We find that CTAs can hedge against stock market tail risk and that CTAs with better hedging properties attract more investor flows. Meanwhile, the aggregate CTA size is positively associated with their return comovement with stocks, implying declined diversification benefits with increased capital in commodity markets. Exploiting exogenous shocks to cross-market h...
Source
#1Stefanos G. Baratsas (A&M: Texas A&M University)H-Index: 2
#2Alexander M. Niziolek (A&M: Texas A&M University)H-Index: 15
Last. Efstratios N. Pistikopoulos (A&M: Texas A&M University)H-Index: 74
view all 8 authors...
Energy affects every single individual and entity in the world. Therefore, it is crucial to precisely quantify the "price of energy" and study how it evolves through time, through major political and social events, and through changes in energy and monetary policies. Here, we develop a predictive framework, an index to calculate the average price of energy in the United States. The complex energy landscape is thoroughly analysed to accurately determine the two key factors of this framework: the ...
Source
#1Alina Sorescu (A&M: Texas A&M University)H-Index: 15
#2Sorin M. Sorescu (A&M: Texas A&M University)H-Index: 22
Last. Bart Devoldere (TNO: Netherlands Organisation for Applied Scientific Research)H-Index: 1
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The interplay between innovation and the stock market has been extensively studied by scholars across all business disciplines. However, one phenomenon remains understudied: the association between innovation and stock market bubbles. Bubbles— defined as rapid increases and subsequent declines in stock prices—have been primarily examined by economists who generally do not focus on individual characteristics of innovations or on the consequences of bubbles for their parent firms. We set out to fi...
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#1Alina SorescuH-Index: 15
#2Sorin M. SorescuH-Index: 22
Last. Bart DevoldereH-Index: 1
view all 4 authors...
#1Ferhat AkbasH-Index: 10
#2Ekkehart BoehmerH-Index: 33
Last. Sorin M. SorescuH-Index: 22
view all 4 authors...
Several months before information becomes public, the level of short interest contains value-relevant information about publicly traded corporations. Short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. This informational content is stronger for stocks that are harder to short. We also find that nearly half of the well-known cross-sectional relation between short interest and future stock returns is related to future changes ...
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#1Haipeng Chen (A&M: Texas A&M University)H-Index: 10
#2Alina Sorescu (A&M: Texas A&M University)H-Index: 15
Last. Sorin M. Sorescu (A&M: Texas A&M University)H-Index: 22
view all 4 authors...
Purchase decisions occasionally involve ratio calculations (e.g., calories per serving). When faced with decisions that involve information presented in such formats, consumers often ignore the convexity inherent in these calculations and rely on the more intuitive arithmetic mean rather than the correct harmonic mean in averaging ratios. In three studies, we show that convexity neglect systematically affects consumers' judgment and leads to suboptimal choices. In addition, we provide evidence t...
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#1Alina Sorescu (A&M: Texas A&M University)H-Index: 15
#2Sorin M. Sorescu (A&M: Texas A&M University)H-Index: 22
AbstractThe authors reexamine the relation between customer satisfaction (measured by the American Customer Satisfaction Index) and long-term stock returns using statistical tests that are well specified in the presence of industry clustering. Their results are consistent with those of Fornell, Morgeson, and Hult (2016), who find positive abnormal stock returns for companies with high levels of customer satisfaction. However, the authors also identify three caveats that could affect the robustne...
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#1Ferhat Akbas (KU: University of Kansas)H-Index: 10
#2Will J. Armstrong (TTU: Texas Tech University)H-Index: 6
Last. Avanidhar Subrahmanyam (UCLA: University of California, Los Angeles)H-Index: 75
view all 4 authors...
Efficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine the relation between flows to a quantitative (quant) strategy that is based on capital market anomalies and the subsequent performance of this strategy. When these flows are high, quant funds are able to implement arbitrage strategies more effectively, which in turn leads to lower profitability of market anomalies in the future, and vice versa. Thus, the degree of cross-sectional ...
Source
#1Ferhat Akbas (KU: University of Kansas)H-Index: 10
#2Will J. Armstrong (TTU: Texas Tech University)H-Index: 6
Last. Avanidhar Subrahmanyam (UCLA: University of California, Los Angeles)H-Index: 75
view all 4 authors...
Abstract We investigate the dual notions that “dumb money” exacerbates well-known stock return anomalies and “smart money” attenuates these anomalies. We find that aggregate flows to mutual funds (dumb money) appear to exacerbate cross-sectional mispricing, particularly for growth, accrual, and momentum anomalies. In contrast, hedge fund flows (smart money) appear to attenuate aggregate mispricing. Our results suggest that aggregate flows to mutual funds can have real adverse allocation effects ...
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