Volume 6, Number 2, 2005 Abstracts
© Copyright Erlbaum 2005

The Timing Ability of Newly Listed NYSE Firms, 1926-1962
Tim Loughran-University of Notre Dame
Jennifer Marietta-Westberg-Michigan State University

We demonstrate that, from 1926 to 1962, the number of new listings on the New York Stock Exchange has predictive ability for future aggregate market returns. The forecasting power of new listings is evident even after controlling for previously documented market predictors, such as the dividend yield. While firms do not appear to time their own performance, tests investigating aggregate market movements around new listing dates are consistent with forecasting ability of the new listing variable. In particular, we use non-parametric regression methods to determine the functional relationship between one-year post-market returns and new listings. We find a decreasing trend in the expected one-year post-market return as a function of the number of new listings each quarter. Subsequent tests show that mean reversion in market returns does not drive the predictive evidence found here.

Asset Allocation and Information Overload: The Influence of Information Display, Asset Choice, and Investor Experience
Julie R. Agnew-The College of William and Mary
Lisa R. Szykman-The College of William and Mary

This paper examines whether information overload might partially explain why defined contribution plan participants tend to follow the "path of least resistance" (Choi et al. [2002]) In two experiments, we test how three common differences among defined contribution plans (the number of investment choices offered, the similarity of the choices, and the display of the choices) lead to varying degrees of information overload and the probability of opting for the default. Notably, we control for the financial aptitude of each individual. The findings suggest that the success of certain plan features depends strongly on the financial background of the participant. We find that low-knowledge individuals opt for the default allocation more often than high-knowledge individuals (experiment 1: 20% versus 2%). The results emphasize the importance of plan design, especially the selection of plan defaults, and the need to improve the financial literacy of participants.

Limit Order Trading Behavior and Individual Investor Performance
Alexander Anderson-Deutsche Bank
Julia Henker-University of New South Wales
Sian Owen-University of New South Wales

Using highly detailed data from a major Australian online broker, we investigate individual investors' limit order behavior and performance. We examine relative performance categorized by number and size of limit orders placed, and by proportion of orders that execute. We find that individuals who place the most orders and have the highest number of transactions enjoy higher returns than those with the fewest orders and transactions. The best performers have the highest proportion of orders execute and place smaller orders than the worst performers. These findings are robust after controlling for stock characteristics with the Fama and French [1992] factor model.

Framing Effects, Selective Information, and Market Behavior: An Experimental Analysis
Erich Kirchler-University of Vienna
Boris Maciejovsky-Massachusetts Institute of Technology
Martin Weber-University of Mannheim

The results of an asset market experiment, in which sixty-four subjects trade two assets on eight markets in a computerized continuous double auction, indicate that objectively irrelevant information influences trading behavior. We find that positively and negatively framed information leads to a particular trading pattern, but leaves trading prices and volume unaffected. The experiment also provided support for the disposition effect. Participants who experience a gain sell their assets more rapidly than participants who experience a loss, and positively framed subjects generally sell their assets later than negatively framed subjects.

Research Elsewhere
Robert A. Olsen-California State University, Chico, and Decision Research

Book Reviews
Robert A. Olsen-California State University, Chico, and Decision Research