Thesis advisor: Thomas Chemmanur / My Ph.D. dissertation consists of three essays. The first essay studies the economic consequence of the current patent screening process on firm performance using a machine-learning approach. Using USPTO patent application data, I apply a machine-learning algorithm to analyze how the current patent examination process in the U.S. can be improved in terms of granting higher quality patents. I make use of the quasi-random assignment of patent applications to examiners to show that screening decisions aided by a machine learning algorithm lead to a 15.5% gain in patent generality. To analyze the economic consequences of current patent screening on both public and private firms, I construct an ex-ante measure of past false acceptance rate for each examiner by exploiting the disagreement in patent screening decisions between the algorithm and current patent examiner. I first show that patents granted by examiners with higher false acceptance rates have lower announcement returns around patent grant news. Moreover, these patents are more likely to expire early. Next, I find that public firms whose patents are granted by such examiners are more likely to get sued in patent litigation cases. Consequently, these firms cut R&D investments and have worse operating performance. Lastly, I find that private firms whose patents are granted by such examiners are less likely to exit successfully by an IPO or an M&A. Overall, this study suggests that the social and economic cost of an inefficient patent screening system is large and can be mitigated with the help of a machine learning algorithm. The second essay studies how investor attention affects various aspects of SEOs. Models of seasoned equity offerings (SEOs) such as Myers and Majluf (1984) assume that all investors in the economy pay immediate attention to SEO announcements and the pricing of SEOs. In this paper, we analyze, theoretically and empirically, the implications of only a fraction of investors in the equity market paying immediate attention to SEO announcements. We first show theoretically that, in the above setting, the announcement effect of an SEO will be positively related to the fraction of investors paying attention to the announcement and that there will be a post-announcement stock-return drift that is negatively related to investor attention. In the second part of the paper, we test the above predictions using the media coverage of firms announcing SEOs as our main proxy for investor attention, and find evidence consistent with the above predictions. In the third part of the paper, we develop and test various hypotheses relating investor attention paid to an issuing firm to various SEO characteristics. We empirically show that institutional investor participation in SEOs, the post-SEO equity market valuation of firms, SEO underpricing, and SEO valuation are all positively related to investor attention. Lastly, we also use the number of SEC EDGAR file downloads as an alternative proxy for investor attention, and our findings are robust to this alternative investor attention measure. The results of our identification tests show that the above results are causal. The third essay studies how the location of a lead underwriter in its network of investment banks affects various aspects of seasoned equity offerings (SEOs). We hypothesize that investment banking networks perform an important economic role in the SEO underwriting process for SEOs, namely, that of information dissemination, where the lead underwriter uses its investment banking network to disseminate information about the SEO firm to institutional investors. Consistent with the above information dissemination role, we show that firms whose SEOs are underwritten by more central lead underwriters are associated with a smaller extent of information asymmetry in the equity market. We then develop testable hypotheses based on the information dissemination role of underwriter networks for the relationship between SEO underwriter centrality and various SEO characteristics, which we test in our empirical analysis. Consistent with the above hypotheses, we find that more central lead SEO underwriters are associated with less negative SEO announcement effects; smaller SEO offer price revisions; smaller SEO discounts and underpricing; higher immediate post-SEO equity valuations for issuing firms; and greater post-SEO long-run stock returns for issuing firms. We also find that SEOs with more central lead underwriters are associated with greater institutional investor participation. Our instrumental variable (IV) analysis using the industry-average bargaining power of underwriters relative to issuers as the instrument shows that the above results are causal. Consistent with greater value creation by more central lead underwriters, we find that more central lead underwriters receive greater compensation. / Thesis (PhD) — Boston College, 2021. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Yes / This study reexamines the need for Chinese enterprises to disclose climate risk information in the context of their significant contribution to climate change. The paper proposes climate risk disclosure indicators based on a sample of Chinese A-share listed companies from 2010 to 2020 and their annual reports. It explores the relationship and influencing mechanism between corporate climate risk disclosure and carbon emissions levels. The results of empirical research show that disclosing climate risk information reduces carbon emissions levels, and this mitigating effect is significantly enhanced by the moderating effects of executive environmental experience, investor attention, and government environmental supervision. Heterogeneity analysis further indicates that state-owned enterprises, those with a solid corporate green culture, or industries with high pollution emissions can better exert the carbon emission reduction effect of climate risk disclosure. In addition, physical climate risk disclosure is preferred in terms of short-term carbon emissions. In contrast, transformational climate risk disclosure is selected for long-term carbon reduction goals. Finally, empirical economic analysis indicates that high-quality climate risk disclosure can appropriately mitigate the negative impact of corporate carbon emissions on solvency and profitability compared to firms with lower disclosure levels, highlighting the importance of climate risk disclosure quality. / This work was supported by National Natural Science Foundation of China [No. 72091515], the Natural Science Foundation of Hunan Province (2022JJ40647), and Excellent Young Scholar Project of the Hunan Provincial Department of Education (23B0004). / The full-text of this article will be released for public view at the end of the publisher embargo on 12 July 2025.

This thesis studies how the investor attention proxied by Google search volume affects different aspects of market behavior. My results show that a surge in online attention is associated with an increase in trading activity and stock price volatility, but no effect is detected for daily returns. Yet, if market sentiment is taken into account, the relationship comes to the surface for returns as well. The returns tend to decrease with attention hikes in negative sentiment periods and the opposite is observed for periods of positive sentiment, suggesting that Google web search captures predominately attention of sentiment investors. Moreover, I demonstrate that with the outburst of financial crisis, the interdependence between attention and trading activity was intensified. Lastly, I provide evidence that web search may shed some light on IPO-related puzzles. The initial returns seem to be higher for IPOs that receive above average attention, and are likely to be reversed in long-term. In addition, it is ascertained that web search volume may act as a proxy for market overreaction to the offerings. Powered by TCPDF (www.tcpdf.org)

Les investisseurs n’exploitent pas toujours toute l’information disponible lorsqu’ils prennent des décisions, en raison à la fois d’une surabondance de l’information et de capacités cognitives limitées. Le premier essai de cette thèse montre que les sociétés tirent parti de l’inattention des investisseurs en communiquant plus ou moins longtemps à l’avance la date à laquelle aura lieu les annonces de résultats. Des résultats positifs sont notifiés très en amont tandis que des résultats décevants font l’objet d’un délai de notification plus court. Le second essai traite de la visibilité internationale des sociétés et étudie l’impact d’une communication en anglais via des canaux de diffusion à grande échelle. Cette diffusion plus large augmente l’attention des investisseurs et les informations contenues dans les annonces de résultat sont plus rapidement intégrées dans le prix des titres. Le troisième essai traite des conséquences d’une visibilité accrue des sociétés sur leur politique d’investissement. Une diffusion élargie des informations financières améliore à la fois l’environnement informationnel des sociétés et l’efficacité de leur politique d’investissement. / Investors often fail to incorporate all relevant information when they make decisions. This is a consequence of both information overload and investors’ limited cognitive abilities. The first essay shows that firms take advantage of investors’ inattention by managing the advance notice period of earnings announcements. Firms notify the date of positive earnings announcement several weeks in advance while disappointing earnings are notified at late notice. The second essay deals with firms’ international visibility and studies how communicating on English-speaking wire services impacts investors’ attention. Higher dissemination of news increases investors’ attention and improves the incorporation of information into stock prices. The third essay deals with the effects of firms’ visibility on investment policy. It shows that higher dissemination of disclosures improves firms’ informational environment and investment efficiency.

Background: This paper analyses the influence of fluctuation in gold market on bitcoin prices. Based on previous studies, in present market conditions, volatility in gold prices have caused price changes in several other major assets in the market, such as crude oil. Gold fluctuations are likely to stimulate uncertainty in some other major assets. As bitcoin is becoming an alternative tool to hedge against inflation likewise to gold, the degree of uncertainty in bitcoin market is relatively high. Therefore, the study of causal relationship between gold and bitcoin markets has become appropriate since bitcoin has tremendous growth in its returns and shares many similarities with gold. Thereupon, this study reveals the evidence of Granger causality regression in different time spans to understand the relationship between gold and bitcoin. This relationship is beneficial to study since Granger causality hypothesis acknowledges whether gold’s historical prices are useful for forecasting the bitcoin market. Purpose: This study aims to analyze the relationship between gold and bitcoin market during an 8-year period from 2014 and 2022. Throughout this period, time spans which involves financial crises have been separated from the data set and tested separately to determine if there is a constant relationship between the variables. Through this, it has been intended to find the Granger causality link between gold and bitcoin market to see whether one is leading another one. Identifying the Granger causality correlation helps analyzing the patterns of correlation by using the empirical datasets, and to determine the strength of the Granger causal relationship’s nature between gold and bitcoin. Since the correlation itself does not explain why or how, but only if both markets move together, the Granger causality correlation between gold and bitcoin is the quantification of the impact that gold market performance has on bitcoin’s future price performance. Method: Since the collected data is time-series data, Augmented Dickey-Fuller tests have been conducted initially to the chosen tests. Following the results from ADF tests, Spearman’s Rho, iand Johansen’s Cointegration tests have been utilized to determine the long-term correlation between variables. Thereafter, Toda & Yamamoto and Dolado & Lütkepohl Granger Causality (TYDL-GC) method has been used to analyze the Granger causality link between the variables. Conclusion: The results of this study indicates that (i) no statistically significant correlation between gold and bitcoin market has been found according to the Spearman’s Rho test results, (ii) no long-term relationship has been found between gold and bitcoin according to cointegration test, (iii) gold does Granger Cause bitcoin prices. The evidence of causality link is unilateral from gold towards bitcoin market. Furthermore, it was observed that the Granger causality link weakens in short term and is not constant over time. The results fail to support the semi strong Efficient Market Hypothesis form. Thus, gold and bitcoin’s markets are efficient in the weak form but inefficient in the semi strong form. Since Granger causality has been found from gold towards bitcoin, one can construct a prediction model for bitcoin by using gold’s historical prices.

Cette thèse se compose de trois essais empiriques qui étudient le rôle de l’attention des investisseurs comme étant un déterminant de la relation entre la performance sociale de l’entreprise (PSE) et sa performance financière (PFE). Notre objectif étant de repenser la littérature controversée sur les répercussions financières des activités de l’entreprise en matière de RSE, nous émettons un nouveau postulat – l’attention des investisseurs joue un rôle important dans la relation PSE-PFE. En effet, en complément à l’attrait de l’attention des investisseurs sur les marchés financiers tel que suggéré par un bon nombre d’articles académiques, une littérature émergente mais conséquente a récemment souligné le rôle de la visibilité de l’entreprise ainsi que celui de l’attention des différentes parties prenantes comme étant des facteurs pertinents de la relation entre la PSE et la PFE. Par conséquent, nous avons jugé utile de revisiter les retours sur investissements de la PSE, tout en intégrant l’effet de l’attention des investisseurs.Un important courant de la littérature empirique sur la PSE témoigne d’une forte cohésion entre l’entreprise socialement responsable et ses différentes parties prenantes telles que les consommateurs, les employés, les fournisseurs, les investisseurs les analystes financiers ainsi que les militants et activistes, cette cohésion étant encore plus forte, pour les entreprises bénéficiant d’une attention plus accrue de la part des différentes parties prenantes. Dans ce travail de recherche, nous poursuivons dans une telle logique et plus particulièrement, nous mettons en œuvre une analyse plus fine de ce constat, à savoir, nous évaluons le rôle de l’attention des investisseurs, en tant que ressource cognitive rare et limitée, dans la relation PSE-PFE. Cette thèse comporte quatre chapitres. Un chapitre préliminaire passe en revue la littérature existante sur la valeur marché de la PSE. En particulier, nous identifions trois courants de recherche principaux portant sur cette question et discutons du rôle des mécanismes internes et externes qui affectent la réaction des marchés financiers à la performance sociale. Plus important encore, nous accordons une attention particulière à la littérature sur le rôle de la visibilité de l’entreprise pour traduire la PSE en PFE. Ce dernier constat ouvre le débat sur la pertinence probable de l’attention de l’investisseur comme un déterminant clé de la relation PSE-PFE. Ainsi, dans une deuxième partie, nous portons un intérêt particulier à la littérature antérieure sur l’attention, le traitement de l’information et la prise de décision sur les marchés financiers. Puis, après avoir correctement défini l’attention et présenté son rôle sur les marchés financiers, nous essayons dans la dernière section de ce chapitre, d’établir le lien entre la littérature sur l’attention des investisseurs et celle sur l’impact financier de la PSE afin de déceler les perspectives de recherche futures. En dernier lieu, nous concluons et donnons le ton à la question de recherche complexe et stimulante que nous essayons d’élucider tout au long des trois essais de cette thèse à savoir, comment l’attention des investisseurs transforme la PSE en PFE. [...] / This thesis consists of three empirical essays investigating the role of investor attention as a determinant of the relationship between corporate social performance (CSP) and financial performance. Our aim is to rethink the controversial literature on the financial implications of CSR activities by exploring a new premise – investor attention may shape the financial returns on corporate social impact. Since a growing stream of literature has highlighted the role of firm visibility as well as stakeholder attention to connect CSP to financial performance in addition to the complementary literature of investor attention and stock prices, we expect that controlling for firm-specific investor attention would provide novel insights to the literature on the potential financial effects of CSP.A consistent strand of literature has provided interesting evidence of a strong relationship between the firm CSP and its stakeholders such as consumers, employees, suppliers, investors, analysts, activists and communities, and regulators, with the benefits being stronger, the greater the attention to and salience of social activities among stakeholders. We complement and extend this literature by implementing a more granular analysis and particularly we focus on the relevance of investors’ attention, a scarce and limited cognitive resource.This research is divided in four chapters. The first chapter is a survey of prior theoretical and empirical literature on the controversial debate of the relation between CSR and financial outcomes. We have particularly reviewed potential mechanisms that allow CSP to translate into CFP. Most importantly, we rely on studies claiming that firm visibility is a crucial factor to connect social impact to financial performance. Another argument of great appeal is the stakeholder attention theory as proposed by Madsen and Rodgers (2015) from which our research question draws its full legitimacy. Then, we have connected the literatures on attention, information, decision making and CSR to remake the CSP-CFP puzzle and highlight potential research hypotheses. A more readable view is provided by Figure 1 (later in this document) which integrates and synthesizes key predictors, outcomes, mediators, and moderators of the CSP-CFP relation by focusing on studies related to CSR and firm visibility thereby introducing the role of investor attention. Figure 1 is not an exhaustive conceptualization of all the intervening variables in this relationship but rather meant as a multilevel lens and guiding framework to which other variables can be added in the future. However, despite all the advancements in assessing the returns on CSR investments, this debate remains unsettled and has yielded conflicting results. Thus, we conducted three empirical essays on the relation between CSP and financial performance and particularly provide new and unique evidence on the role of investor attention to shape this controversial empirical issue. Therefore, in the first essay, we conduct a multi-country event study and investigate the impact of environmental, social and governance (ESG) news headlines on the shareholder wealth. We find that investors do not value positive ESG news headlines but negatively react to negative ESG news headlines. This result is consistent with the idea that social responsibility and irresponsibility are not the two sides of the same coin. Furthermore, evidence reveals that shareholders only react to negative corporate governance related headlines. This suggests that investors may be especially prone to attend to corporate social responsibility (CSR) initiatives that directly impact their own interests as previously suggested by T. M. Jones et al. (2007). Most importantly, investor attention was found to shape the punishment and reward of CSP, after controlling for the additional role of firm’s internal moderators such as firm size and advertising expenditure. [...]

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L’augmentation massive du volume de données générées chaque jour par les individus sur Internet offre aux chercheurs la possibilité d’aborder la question de la prédictibilité des marchés financiers sous un nouvel angle. Sans prétendre apporter une réponse définitive au débat entre les partisans de l’efficience des marchés et les chercheurs en finance comportementale, cette thèse vise à améliorer notre compréhension du processus de formation des prix sur les marchés financiers grâce à une approche Big Data. Plus précisément, cette thèse porte sur (1) la mesure du sentiment des investisseurs à fréquence intra-journalière, et le lien entre le sentiment des investisseurs et les rendements agrégés du marché,(2) la mesure de l’attention des investisseurs aux informations économiques et financières en temps réel, et la relation entre l’attention des investisseurs et la dynamique des prix des actions des sociétés à forte capitalisation, et enfin, (3) la détection des comportements suspicieux pouvant amoindrir le rôle informationnel des marchés financiers, et le lien entre le volume d’activité sur les réseaux sociaux et le prix des actions des entreprises de petite capitalisation. Le premier essai propose une méthodologie permettant de construire un nouvel indicateur du sentiment des investisseurs en analysant le contenu des messages publiés sur le réseau social Stock-Twits. En examinant les caractéristiques propres à chaque utilisateur (niveau d’expérience, approche d’investissement, période de détention), cet essai fournit des preuves empiriques montrant que le comportement des investisseurs naïfs, sujets à des périodes d’excès d’optimisme ou de pessimisme, a un impact sur la valorisation du marché action, et ce en accord avec les théories de la finance comportementale. Le deuxième essai propose une méthodologie permettant de mesurer l’attention des investisseurs aux informations en temps réel, en combinant les données des médias traditionnels avec le contenu des messages envoyés par une liste d’experts sur la plateforme Twitter. Cet essai démontre que lorsqu’une information attire l’attention des investisseurs, les mouvements de marchés sont caractérisés par une forte hausse des volumes échangés, une hausse de la volatilité et des sauts de prix. Cet essai démontre également qu’il n’y a pas de fuite d’information significative lorsque les sources d’informations sont combinées pour corriger un potentiel problème d’horodatage. Le troisième essai étudie le risque de manipulation informationnelle en examinant un nouveau jeu de données de messages publiés sur Twitter à propos des entreprises de petite capitalisation. Cet essai propose une nouvelle méthodologie permettant d’identifier les comportements anormaux de manière automatisée en analysant les interactions entre les utilisateurs. Étant donné le grand nombre de recommandations suspicieuses d’achat envoyées par certains groupes d’utilisateurs, l’analyse empirique et les conclusions de cet essai soulignent la nécessité d’un plus grand contrôle par les régulateurs de l’information publiée sur les réseaux sociaux ainsi que l’utilité d’une meilleure éducation des investisseurs individuels. / The massive increase in the availability of data generated everyday by individuals on the Internet has made it possible to address the predictability of financial markets from a different perspective. Without making the claim of offering a definitive answer to a debate that has persisted for forty years between partisans of the efficient market hypothesis and behavioral finance academics, this dissertation aims to improve our understanding of the price formation process in financial markets through the use of Big Data analytics. More precisely, it analyzes: (1) how to measure intraday investor sentiment and determine the relation between investor sentiment and aggregate market returns, (2) how to measure investor attention to news in real time, and identify the relation between investor attention and the price dynamics of large capitalization stocks, and (3) how to detect suspicious behaviors that could undermine the in-formational role of financial markets, and determine the relation between the level of posting activity on social media and small-capitalization stock returns. The first essay proposes a methodology to construct a novel indicator of investor sentiment by analyzing an extensive dataset of user-generated content published on the social media platform Stock-Twits. Examining users’ self-reported trading characteristics, the essay provides empirical evidence of sentiment-driven noise trading at the intraday level, consistent with behavioral finance theories. The second essay proposes a methodology to measure investor attention to news in real-time by combining data from traditional newswires with the content published by experts on the social media platform Twitter. The essay demonstrates that news that garners high attention leads to large and persistent change in trading activity, volatility, and price jumps. It also demonstrates that the pre-announcement effect is reduced when corrected newswire timestamps are considered. The third essay provides new insights into the empirical literature on small capitalization stocks market manipulation by examining a novel dataset of messages published on the social media plat-form Twitter. The essay proposes a novel methodology to identify suspicious behaviors by analyzing interactions between users and provide empirical evidence of suspicious stock recommendations on social media that could be related to market manipulation. The conclusion of the essay should rein-force regulators’ efforts to better control social media and highlights the need for a better education of individual investors.