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Fear of Rejection? Tiered Certification and Transparency

Farhi, Emmanuel - 2008

The sub-prime crisis has shown a harsh spotlight on the practices of securities underwriters, which provided too many complex securities that proved to ultimately have little value. This uproar calls attention to the fact that the literature on intermediaries has carefully analyzed their...

Persistent link: https://www.econbiz.de/10012464190

Short Interest and Stock Returns

Asquith, Paul - 2004

Using a longer time period and both NYSE-Amex and Nasdaq stocks, this paper examines short interest and stock returns in more detail than any previous study and finds that many documented patterns are not robust. While equally weighted high short interest portfolios generally underperform, value...

Persistent link: https://www.econbiz.de/10012468259

Valuation, Adverse Selection, and Market Collapses

Fishman, Michael J. - 2012

We study a market for funding real investment in which valuation creates information on which adverse selection can occur. Unlike in previous models, higher amounts of valuation are associated with lower market prices and so greater returns to valuation, and this strategic complementarity in the...

Persistent link: https://www.econbiz.de/10012460301

Decision Fatigue and Heuristic Analyst Forecasts

Hirshleifer, David - 2018

Psychological evidence indicates that decision quality declines after an extensive session of decision-making, a … phenomenon known as decision fatigue. We study whether decision fatigue affects analysts' judgments. Analysts cover multiple … the number of forecasts the analyst has already issued increases. Also consistent with decision fatigue, we find that the …

Persistent link: https://www.econbiz.de/10012453421

A Model of Momentum

Liu, Laura Xiaolei - 2011

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

Persistent link: https://www.econbiz.de/10012461911

Momentum Crashes

Daniel, Kent - 2014

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...

Persistent link: https://www.econbiz.de/10012458228

Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks

Kim, Jung-Wook - 2009

Using complete order books from the Korea Stock Exchange for a four-year period including the 1997 Asian financial crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably finite elasticities. These fall markedly, by about 40%,...

Persistent link: https://www.econbiz.de/10012463914

Attention, Demographics, and the Stock Market

DellaVigna, Stefano - 2005

Do investors pay enough attention to long-term fundamentals? We consider the case of demographic information. Cohort size fluctuations produce forecastable demand changes for age-sensitive sectors, such as toys, bicycles, beer, life insurance, and nursing homes. These demand changes are...

Persistent link: https://www.econbiz.de/10012467474

Stock Market Trading and Market Conditions

Griffin, John M. - 2004

This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions...

Persistent link: https://www.econbiz.de/10012467970

Equity market liberalizations as country IPOs

Martell, Rodolfo - 2003

Equity market liberalizations are like IPOs, but they are IPOs of a country's stock market rather than of individual firms. Both are endogenous events whose benefits are limited by poor investor protection, agency costs, and information asymmetries. As for stock prices following an IPO, there...

Persistent link: https://www.econbiz.de/10012469222

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