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ECONIS (ZBW)
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1
Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph
-
2000
-sectional regression specifications which attempt to
forecast
skewness in the daily returns of individual stocks. Negative skewness is most …-price bubbles. Analogous results also obtain when we attempt to
forecast
the skewness of the aggregate stock market, though our …
Persistent link: https://www.econbiz.de/10012471074
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2
Simple Forecasts and Paradigm Shifts
Hong, Harrison
-
2003
done better over the same period. This
theory
makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the
theory
yields …
Persistent link: https://www.econbiz.de/10012468685
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3
When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms
Baker, Malcolm
-
2002
We use a simple model of corporate investment to determine when investment will be sensitive to non-fundamental movements in stock prices. The key cross-sectional prediction of the model is that stock prices will have a stronger impact on the investment of firms that are 'equity dependent' -...
Persistent link: https://www.econbiz.de/10012469965
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4
A Unified
Theory
of Underreaction, Momentum Trading and Overreaction in Asset Markets
Hong, Harrison
-
1997
We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...
Persistent link: https://www.econbiz.de/10012472491
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5
Prices and Trading Volume in the Housing Market : A Model with Downpayment Effects
Stein, Jeremy C.
-
1993
This paper presents a simple model of trade in the housing market. The crucial feature is that a minimum downpayment is required for the purchase of a new home. The model has direct implications for the volatility of house prices, as well as for the correlation between prices and trading volume....
Persistent link: https://www.econbiz.de/10012474650
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6
Herd on the Street : Informational Inefficiencies in a Market with Short-Term Speculation
Froot, Kenneth A.
-
1990
Standard models of informed speculation suggest that traders try to learn information that others do not have. This result implicitly relies on the assumption that speculators have long horizons, i.e, can hold the asset forever. By contrast, we show that if speculators have short horizons, they...
Persistent link: https://www.econbiz.de/10012475787
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7
The Only Game in Town : Stock-Price Consequences of Local Bias
Hong, Harrison
-
2005
Theory
suggests that, in the presence of local bias, the price of a stock should be decreasing in the ratio of the …
Persistent link: https://www.econbiz.de/10012467191
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8
Growth vs. Margins : Destabilizing Consequences of Giving the Stock Market What it Wants
Aghion, Philippe
-
2004
We develop a multi-tasking model in which a firm can devote its efforts either to increasing sales growth, or to improving per-unit profit margins by, e.g., cutting costs. If the firm's manager is concerned with the current stock price, she will tend to favor the growth strategy at those times...
Persistent link: https://www.econbiz.de/10012467688
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9
Investor Sentiment and Corporate Finance : Micro and Macro
Lamont, Owen A.
-
2005
We document that net equity issuance is considerably more sensitive to aggregate stock returns and Q's than to firm-level stock returns and Q's. Very similar patterns also emerge when we look at merger activity. In light of earlier work (Campbell 1991, Vuolteenaho 2002) which finds that...
Persistent link: https://www.econbiz.de/10012466789
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10
Breadth of Ownership and Stock Returns
Chen, Joseph
-
2001
breadth should
forecast
lower (higher) returns. Using quarterly data on mutual fund holdings over the period 1979-1998, we …
Persistent link: https://www.econbiz.de/10012470575
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