Anna Scherbina
Associate Professor of Management
Research Expertise: Investment management, capital markets, behavioral finance, empirical asset pricing
Anna Scherbina has studied why even seemingly 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 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 BS in management information from Polytechnic University in New York. Scherbina joined the UC Davis Graduate School of Management in 2007 from Harvard Business School where she taught MBA courses in finance.
Room 3212
Market Reaction to Corporate Press Releases
Associate Professor Anna Scherbina
Co-Authors: Neuhierl, A., Northwestern University and B. Schlusche, Federal Reserve Board
272 Evaluation of Financial Information
Evaluates the information in financial reports of business enterprises, with an emphasis on the uses of financial statements by business managers and persons outside the firm, such as investors, creditors and financial analysts. Studies U.S. and U.K. enterprises. Covers techniques of financial analysis, evaluation of the quality of financial data, prediction of financial variables, cash flow and accounting valuation models, analysis of significant transactions, stock market effects of accounting information. 270 recommended.
260 Corporate Finance
The course explores how managers make financial decisions through the analysis of Harvard Business School cases. Should a firm undertake a new investment opportunity, raise equity, acquire another firm or conduct an IPO? How should small firms manage their working capital? How fast can a firm grow? These questions can be answered through incremental cash flow analysis technique, and students will learn how to properly apply the technique to real-life situations.
Trading on the News
Take advantage of corporate news releases that predict market value and behavior.
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.
Trading on the News to Predict Market Behavior
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.
Three Stocks With Scattered Earnings Estimates
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.
Anna Scherbina Awards
Inheriting Losers
Review of Financial Studies, 2011
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.
Mispricing and Costly Arbitrage
Journal of Investment Management, 2010
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.
Real Estate Bubble Crystal Ball? The Great Depression and Manhattan Home Prices
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.
Read All About It: News as a Predictor of Stock Price Volatility
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.
Suppressed Negative Information and Future Underperformance
Review of Finance, 2008
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.
Analyst Disagreement, Mispricing, and Liquidity
The Journal of Finance, 2007
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.
Stock Prices and Differences of Opinion: Empirical Evidence that Prices Reflect Optimism
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.