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Frog in the Pan : Continuous Information and Momentum
Da, Zhi - 2012
We develop and test a frog-in-the-pan (FIP) hypothesis that predicts investors are less attentive to information … arriving continuously in small amounts than to information with the same cumulative stock price implications arriving in large … than infrequent dramatic changes and construct an information discreteness measure to capture the intensity of firm …
Persistent link: https://www.econbiz.de/10013115137
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Frog in the Pan : Continuous Information and Momentum
Da, Zhi - 2013
We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously … infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent … continuous information during their formation period to -2.07% for stocks with discrete information but similar cumulative …
Persistent link: https://www.econbiz.de/10013071411
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Disagreement after News : Gradual Information Diffusion or Differences of Opinion?
Fedyk, Anastassia - 2018
of canonical models of gradual information diffusion and differences of opinion. I use a unique dataset of clicks on news … trading among investors who see the same news but disagree regarding its interpretation. Consistent with gradual information …
Persistent link: https://www.econbiz.de/10012935788
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
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Alterntive tests for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2011
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...
Persistent link: https://www.econbiz.de/10010316938
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Testing for Monotonicity in Expected Asset Returns
Romano, Joseph P. - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10013092850
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Haven on Earth? Dynamic Connections between Gold and Stock Markets in Turbulent Times
Junttila, Juha-Pekka - 2017
We find that exogenous structural shocks caused by terrorist attacks, wars, political turmoil and gold market specific events have a strong role to play in the analysis of dynamic relationships between gold and stock market returns. Our main finding is that the interaction between the gold...
Persistent link: https://www.econbiz.de/10012963146
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How Market Sentiment Drives Forecasts of Stock Returns
Frydman, Roman - 2020
We reveal a novel channel through which market participants' sentiment influences how they forecast stock returns: their optimism (pessimism) affects the weights they assign to fundamentals. Our analysis yields four main findings. First, if good (bad) “news” about dividends and interest...
Persistent link: https://www.econbiz.de/10012834037
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
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Sentiment, Electoral Uncertainty and Stock Returns
Carvalho, Carlos - 2017
We study the effect of a huge sports sentiment shock, unrelated to economic conditions or government actions, on stock market outcomes. After Brazil's 7-1 humiliating defeat to Germany in the 2014 World Cup, which is likely to be one of the largest sports sentiment shocks ever, the stock market...
Persistent link: https://www.econbiz.de/10012961363