Assistant Professor of Finance
and Business Economics
University of Southern California
Marshall School of Business
Contact: Office: Hoffman Hall 502
Phone: (213) 740 1057
3670 Trousdale Parkway, Suite 308
Bridge Hall 308, MC-0804
Los Angeles, CA, 90089-0804
Email: dhsolomo[at the domain of]marshall.usc.edu
Interests: Empirical Asset Pricing, Media and Financial Markets, Behavioral Finance, Prediction Markets and Mutual Funds.
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.
[Citation: Solomon, David H., Eugene F. Soltes and Denis Sosyura, 2014, ‘Winners in the spotlight: Media coverage of fund holdings as a driver of flows’, Journal of Financial Economics 113 (1), 53-72, July 2014.]
[Citation: Hartzmark, Samuel M. and David H. Solomon, 2013, ‘The Dividend Month Premium’, Journal of Financial Economics 109 (3), 640-660, September 2013.]
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.
[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.
(Revise and Resubmit, Journal of Financial Economics)
Updated: June 2014
(Revise and Resubmit, Review of Financial Studies)
If companies have earnings that are historically higher in one quarter of the year, they have high returns when those earnings are likely to be announced. We link this to the tendency of investors to overweight recent information in low earnings, leading to pessimistic forecasts.
With Eugene F. Soltes.
(Revise and Resubmit, Journal of Law and Economics)
Updated November, 2013
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.
Winner, Best Paper Award, Financial Research Association Conference, 2012.
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.
Writing: Op-Ed piece in The Australian Newspaper on Earth Hour, May 9, 2007.
About Me: I enjoy surfing, squash, playing the acoustic guitar, and swimming at Cottesloe Beach