Then the professors examined the returns of the CEOs' stocks, and discovered that the bigger the home, the worse the stock performed. In 2005, the stocks of companies whose CEOs lived in larger homes (i.e., above the average for all CEOs) returned, on average, 3.35 percent less than companies whose CEOs lived in below-average homes. And the CEOs who lived in the biggest homes (at least 10,000 square feet or over 10 acres) underperformed their peers who inhabited more modest homes by 6.9 percent, on average.

Next, they looked at stock returns for 164 companies whose CEOs bought new homes after becoming CEO. Here, again, they found trouble, especially for CEOs who bought mega-homes on mega-plots. They found "a significantly negative stock performance following the acquisition of very large homes by company CEOs," on the order of 1.25 percent performance lag per month.