David H. Solomon
Assistant Professor of Finance
and Business Economics
University of Southern California
Marshall School of Business
Contact: Office: Hoffman Hall 502
Phone: (213) 740 1057
Mailing
Address:
3670 Trousdale Parkway, Suite 308
Bridge Hall 308, MC-0804
Los Angeles, CA, 90089-0804
Email: dhsolomo.at.marshall.usc.edu
Research
Interests: Empirical Asset Pricing, Media and Financial Markets, Behavioral Finance, Prediction Markets and Mutual Funds.
Publications: [4.] The Dividend
Month Premium, 2012, with Samuel M. Hartzmark, Journal of
Financial Economics, Forthcoming.
We document an
asset-pricing anomaly whereby companies have positive abnormal returns in
months when they are expected to issue a dividend. We relate this to price
pressure from dividend-seeking investors.
Winner,
Best Paper Award, California Corporate Finance Conference 2011
[3.] Selective Publicity and Stock Prices, 2012, Journal of Finance
[Citation:
Solomon, David H., 2012, ‘Selective Publicity and Stock Prices’, Journal of
Finance 67 (2), 599-637, April 2012.]
Investor relations firms ‘spin’ their clients’ media
coverage by getting more coverage of good news than bad news. This pushes up
stock prices in the short term.
[2.] Efficiency
and the Disposition Effect in NFL Prediction Markets, 2012, with Samuel
M. Hartzmark, Quarterly Journal of Finance,
[Citation:
Hartzmark, Samuel M. and David H. Solomon, 2012, ‘Efficiency and the
Disposition Effect in NFL Prediction Markets’, Quarterly Journal of Finance 2
(3), pp 1250013, September 2012.]
We find
evidence of the disposition effect (the tendency to sell winners and hold on to
losers) in a betting market on NFL games. Finding the disposition effect in a
gambling market raises questions about what its underlying cause is.
[1.] A Multinomial Approximation of American Option Prices in
a Lévy Process Model, 2006,
with Ross A. Maller and Alexander Szimayer, Mathematical
Finance
[Citation:
Maller, Ross A .,
David H. Solomon, and Alexander Szimayer, 2006, ‘A Multinomial Approximation of
American Option Prices in a Lévy
Process Model’, Mathematical Finance
16 (4), 613-633, October 2006.]
We develop a multinomial
options pricing model that can price American options when the stock price
follows an exponential Lévy process. The method works analogously to the
binomial method, with the extra states allowing for price processes that
include jumps.
Working
Papers: Looking for
Someone to Blame: Delegation, Cognitive Dissonance and the Disposition Effect
With Tom Chang and Mark Westerfield
NEW!
Updated:
April 2013
Investors in most
assets are more likely to sell gains than losses, but mutual fund investors do
the opposite. Using experimental data, we argue that this is because selling
losers means admitting to the mistake of the initial investment, but with
delegated assets investors can blame the fund manager instead.
Winners in the Spotlight: Media Coverage of Fund Holdings
as a Driver of Flows
With Eugene F. Soltes and Denis
Sosyura
(Revise and
Resubmit, Journal of Financial Economics)
Updated:
August 2012
We show that
investors allocate flows to mutual funds based on the past returns of fund
holdings, but only for stocks recently covered in major newspapers. Evidence
suggests that this behavior is more linked to increased attention rather than
increased information.
What Are We Meeting For? The Consequences of Private Meetings
with Investors
With Eugene F. Soltes.
Updated September 2012
Using data
from an NYSE firm, we find that investors who meet privately with company
management have better performance in their trades. Interestingly, hedge funds
seem to benefit from these meetings much more than mutual funds
or pension funds.
Covered
in the Wall Street Journal and Financial Times
Winner, Best Paper Award, Financial Research
Association Conference, 2012.
Managerial Control of Business Press Coverage
With Eugene F. Soltes
Updated: September 2012
We examine how
much managers can increase media coverage of their firms. Releasing during the
day increases coverage, but the major determinants of coverage are outside
managerial control.
Updated May 2008
I look at
a natural experiment where Sydney residents turned off lights and electrical
appliances for an hour, and find this had very little impact on electricity
use. Survey respondents also appeared to overstate their participation in the
event.
Popular
Writing: Op-Ed piece in The Australian Newspaper on Earth Hour,
May 9, 2007.
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About Me: I enjoy surfing, squash, playing the acoustic guitar,
and swimming at Cottesloe Beach