Research Expertise: Investment management, capital markets, behavioral finance, empirical asset pricing
Associate Professor Anna Scherbina has studied why sophisticated mutual fund managers may irrationally hold onto stocks that have decreased in value. Her most recent research looks at price determination for luxury real estate, how news events impact stock prices and how the difference of opinion in financial markets effect asset returns.
Scherbina’s work has been published in the Journal of Finance and the Quarterly Review, and she has been a reviewer for numerous national and international academic journals. She is the author of Differences of Opinion in Financial Markets: The Implications for Asset Returns (VDM Verlag Dr. Müller, 2009). She has presented her research at some of the world’s top business schools, including Carnegie Mellon University, the London Business School, the University of Chicago Graduate School of Business, Erasmus University, Harvard Business School and the Fuqua School of Business at Duke University. She has also presented her research to the Board of Governors of the Federal Reserve Bank and to investment professionals at CalPERS and CalSTRS, the nation’s two largest public pension funds.
Scherbina is an adjunct scholar at the American Enterprise Institute. She joined the UC Davis Graduate School of Management in 2007 from Harvard Business School, where she taught MBA courses in finance.
Scherbina received her Ph.D. in finance from the Kellogg Graduate School of Management at Northwestern University, where she also taught a course on corporate finance. She has a B.S. in management information from Polytechnic University in New York.
When publicly traded companies make extraordinary announcements, investors often disagree on the value implication of the news. Yet following such new market information, the stocks appear to be priced by investors wearing rose-colored glasses.
There may be room for retail investors to make money by trading on the news, and investors would be well advised to pay attention to a case currently before the Supreme Court, writes Associate Professor Anna Scherbina about her new study.
Manhattan real estate market is on fire: Associate Professor Anna Scherbina offers a historical and forward looking view of a market where average condos recently reached a record high of nearly $2 million.
A recent incident involving McDonald’s shows how negative news on one company can cause other businesses to suffer as well, but with a delay—an insight that could help small investors reap significant trading profits.
In this op-ed by Associate Professor Anna Scherbina, she writes that a recent incident involving McDonald’s shows how negative news on one company can cause other businesses to suffer as well, but with a delay – an insight that could help small investors reap significant trading profits, according to her research.
“Information and Asset Prices” is the fifth annual conference hosted by the School’s finance group. Organized by Professors Joe Chen and Anna Scherbina, the invitation-only forum brings together an elite international group of scholars to present their latest insights on how information is processed by financial markets and on the role of the news media in shaping investors’ expectations.
Don’t Let the News Lead You to a Loss
Trading shares in a company based on the latest headlines is a big mistake
Be careful trading Alibaba, warns Associate Professor Anna Scherbina in her U.S.News blog. Her research shows that trading shares based on breaking news is a big mistake.
UC Davis Graduate School of Management Associate Professor Anna Scherbina writes in an op-ed about why it’s best to be forward-looking when evaluating investment decisions and remember that the past is irrelevant.
Professor Anna Scherbina
Co-Authors: Bernd Schlusche, University of Bonn
Associate Professor Anna Scherbina
Co-Authors: Neuhierl, A., Northwestern University and B. Schlusche, Federal Reserve Board
Associate Professor Anna Scherbina studies investment management, capital markets, behavioral finance, and empirical asset pricing. In this blog, she discusses practical implications for her recent research regarding trading on the news.
The real estate and subprime mortgage bubbles that burst and cascaded through the global financial system leading to the Great Recession offer an opportunity to examine why such bubbles form and how to minimize their impact. Assistant Professor Anna Scherbina and co-author Bernd Schlusche from the U.S. Federal Reserve Board are using behavioral models to study the dynamics of residential real estate bubbles.
This article about recent stock earnings estimates cites Assistant Professor Anna Scherbina’s research, which showed a link between widely scattered estimates and sub-par future stock returns and earnings growth.
Differences of Opinion in Financial Markets: The Implications for Asset Returns
VDM Verlag Dr. Müller, 2009
How are asset prices determined when investors disagree about the firm valuation? Prof. Anna Scherbina shows that market prices end up being too high, reflecting the more optimistic views.
In this paper, Assistant Professor Anna Scherbina and co-author Li Jin from Harvard Business School show that new managers who take over mutual fund portfolios sell off inherited momentum losers at higher rates than stocks in any other momentum decile, even after adjusting for concurrent trades in these stocks by continuing fund managers.
The equilibrium magnitude of mispricing can be no greater than the cost of arbitraging it away. Yet, mispricing typically arises when the uncertainty about a firm is high, which is precisely when the stock’s liquidity is low.
A decade before the 1929 stock market crash there was a booming real estate market in New York City that Assistant Professor Anna Scherbina says resembles the housing bubble of the 1990s and 2000s.
In a recent radio interview, Scherbina discussed an index of home prices in Manhattan between 1920 and 1939 that she and Associate Professor Tom Nicholas of the Harvard Business School collected by hand from the Manhattan Public Library archives. This data set is informative because the housing market in Manhattan represented 5% to 10% of all the U.S. real estate wealth at that time.
Not long after the Dow Jones slid to a six-year low, Assistant Professor Anna Scherbina presented her research about stock price volatility at Tulane University’s Freeman School of Business in March.
Scherbina’s study, “Unusual News Events and the Cross-Section of Stock Returns,” co-authored by Turan G. Bali of Baruch College’s Zicklin School of Business and Yi Tang of Fordham University’s School of Business, identified a pattern in which stocks that experience a sudden increase in volatility earn higher returns for a month, only to drop and underperform during subsequent months.
In this paper, Assistant Professor Anna Scherbina presents evidence of inefficient information processing in equity markets by documenting that negative information withheld by securities analysts is incorporated in stock prices with a significant delay.
In this paper, Assistant Professor Anna Scherbina and co-author Ronnie Sadka from Boston College document a close link between mispricing and liquidity by investigating stocks with high analyst disagreement. Previous research finds that these stocks tend to be overpriced, but that prices correct downwards as uncertainty about earnings is resolved. The authors’ analysis suggests that one reason mispricing has persisted through the years is that analyst disagreement coincides with high trading costs.
In this paper, Assistant Professor Anna Scherbina provides empirical support for Miller’s 1977 hypothesis that a stock price will reflect the optimistic view whenever there is disagreement about its value. Using dispersion in analyst earnings forecasts as a proxy for disagreement, she finds that high-dispersion stocks earn lower returns than otherwise similar stocks. This effect is more pronounced for small-cap and growth stocks, and the subnormal returns are linked to the resolution of uncertainty.