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Lauren Cohen Assistant Professor of Finance Harvard
Business School Baker Library 273 Soldiers
Field Boston, MA 02163 Phone: 617.495.3888 Email: lcohen@hbs.edu |
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Supply and Demand
Shifts in the Shorting Market (with
Karl Diether and Christopher Malloy), 2007 Journal of Finance 62, 2061-2096. ·
Winner
of the Smith Breeden Prize, Distinguished Paper, for the best paper published
in the Journal of Finance, 2007 |
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Economic Links and Predictable
Returns (with Andrea Frazzini), 2008 Journal of Finance, 63, 1977-2011. Appendix
containing results on supplier momentum and analyst revisions ·
Winner
of the Smith Breeden Prize, Distinguished Paper, for the best paper published
in the Journal of Finance, 2008 ·
Winner
of Emerald Citation of Excellence Award, 2009 ·
Winner
of First Prize, Chicago Quantitative Alliance Academic Paper Competition,
2006 ·
Winner
of BSI Gamma Foundation Grant, Firm Characteristics and Investment
Management, 2006 The Small World
of Investing: Board Connections and Mutual Fund Returns (with
Andrea Frazzini and Christopher Malloy), 2008 Journal
of Political Economy,
116, 951-979. ·
Winner
of Barclays Global Investors Award, Best Paper in Asset Pricing, European
Finance Association 2007 Loyalty Based
Portfolio Choice, 2009
Review of Financial Studies,
22, 1213-1245. Attracting Flows
by Attracting Big Clients (with Breno Schmidt), 2009 Journal of Finance, 64, 2125-2152. ·
Winner
of Society of Quantitative Analysts Award, Best Paper
in Quantitative Investments, Western Finance Association 2007 ·
Winner
of Barclays Global Investors Best Paper Prize, Asset Allocation Symposium,
European Finance Association 2006 Sell Side School
Ties (with Andrea Frazzini and Christopher Malloy), November
2009 Journal
of Finance, forthcoming. Appendix containing results on All-Star status and long-horizon returns |
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Working
Papers |
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Decoding Inside
Information (with Christopher Malloy and Lukasz Pomorski),
December 2009 ·
Winner
of Institute for Quantitative Investment Research (INQUIRE) Grant, 2009 Using a
simple empirical strategy, we decode the information in insider trades. Exploiting the fact that insiders trade for
a variety of reasons, we show that there is predictable, identifiable
"routine" insider trading that is not informative for the future of
firms. Stripping away these routine trades, which comprise over half the
entire universe of insider trades, leaves a set of information-rich
"opportunistic" trades that contains all the predictive power in the insider trading universe. A
portfolio strategy that focuses solely on opportunistic insider trades yields
value-weight abnormal returns of 89 basis points per month, while the
abnormal returns associated with routine traders are essentially zero.
Further, opportunistic trades predict future news and events at a firm level,
while routine trades do not. Do Powerful
Politicians Cause Corporate Downsizing? (with Joshua Coval and Christopher
Malloy), February 2010 This paper
employs a new empirical approach for identifying the impact of government
spending on the private sector. Our key innovation is to use changes in
congressional committee chairmanship as a source of exogenous variation in
state-level federal expenditures. In doing so, we show that fiscal spending
shocks appear to significantly dampen corporate sector investment and
employment activity. These corporate behaviors follow both Senate and House
committee chair changes, are partially reversed when the congressman resigns,
and are most pronounced among geographically-concentrated firms. The effects
are economically meaningful and the mechanism - entirely distinct from the
more traditional interest rate and tax channels - suggests new considerations
in assessing the impact of government spending on private sector economic
activity. Hiring
Cheerleaders: Board Appointments of "Independent" Directors (with
Andrea Frazzini and Christopher Malloy), July 2009 Using a
unique, hand-collected database of independent directors, we provide evidence
that firms appoint independent directors who are overly sympathetic to
management, while still technically independent according to regulatory
definitions. We explore a subset of
independent directors for whom we have detailed, micro-level data on their
views regarding the firm prior to being appointed to the board: sell-side
analysts who are subsequently appointed to the board of companies they previously
covered. We find that boards appoint
overly optimistic analysts who are also poor relative performers. The
magnitude of the optimistic bias is large: 82.0% of appointed recommendations
are strong-buy/buy recommendations, compared to 56.9% for all other analyst
recommendations. We find that appointed analysts’ optimism is stronger at
precisely those times when firms’ benefits are larger, and that appointing
firms increase earnings management, and perform poorly, following these board
appointments. |
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Teaching |
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