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Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading

Lakonishok, Josef - 1991

evaluate the potential effect of their trading on stock prices. We address two aspects of trading by money managers: herding …, which refers to buying (selling) the same stocks as other managers buy (sell) at the same time; and positive … of substantial herding or positive-feedback trading by pension fund managers, except in small stocks. Also, there is no …

Persistent link: https://www.econbiz.de/10012475147

Earnings Quality and Stock Returns

Chan, Konan - 2010

An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, negatively associated with future stock returns. Earnings increases that are accompanied by high accruals,...

Persistent link: https://www.econbiz.de/10012763145

The Level and Persistence of Growth Rates

Chan, Louis K.C. - 2010

Expected long-term earnings growth rates are crucial inputs to valuation models and for cost of capital estimates. We analyze historical long-term growth rates across a broad cross-section of stocks using several operating performance indicators. We test whether growth persists, and whether it...

Persistent link: https://www.econbiz.de/10012763155

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K.C. - 2010

We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...

Persistent link: https://www.econbiz.de/10012763801

Asymmetric Connectedness of Stocks : How Does Bad and Good Volatility Spill over the U.S. Stock Market?

Baruník, Jozef - 2018

In this paper, we examine how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...

Persistent link: https://www.econbiz.de/10012938400

Asymmetric Connectedness on the U.S. Stock Market : Bad and Good Volatility Spillovers

Baruník, Jozef - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...

Persistent link: https://www.econbiz.de/10013023200

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcová, Michala - In: Economic systems 42 (2018) 4, pp. 597-615

Persistent link: https://www.econbiz.de/10012257289

Analysts' Conflict of Interest and Biases in Earnings Forecasts

Chan, Louis K. C. - 2003

Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along with the boom in investment banking business, exacerbated analysts' conflict of interest and their incentives to adjust strategically...

Persistent link: https://www.econbiz.de/10012469156

Distressed acquisitions : evidence from European emerging markets

Iwasaki, Ichirō; Kočenda, Evžen; Shida, Yoshisada - 2021

We analyze factors behind 23,213 distressed acquisitions in European emerging markets from 2007–2019. Besides the impact of financial ratios, legal form, ownership structure, firm size, and age, we emphasize the role of institutions and channels of their propagation. We show that the quality...

Persistent link: https://www.econbiz.de/10012508593

Distressed acquisitions evidence from European emerging markets

Iwasaki, Ichirō; Kočenda, Evžen; Shida, Yoshisada - 2020

Persistent link: https://www.econbiz.de/10012545706