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Do Analysts Herd? An Analysis of Recommendations and Market Reactions
Jegadeesh, Narasimhan - 2007
they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following …
Persistent link: https://www.econbiz.de/10012465790
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Herd on the Street : Informational Inefficiencies in a Market with Short-Term Speculation
Froot, Kenneth A. - 1990
informed traders also know. There can be multiple herding equilibria, and herding speculators may even choose to study …
Persistent link: https://www.econbiz.de/10012475787
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Learning in Financial Markets
Pastor, Lubos - 2009
We survey the recent literature on learning in financial markets. Our main theme is that many financial market phenomena that appear puzzling at first sight are easier to understand once we recognize that parameters in financial models are uncertain and subject to learning. We discuss phenomena...
Persistent link: https://www.econbiz.de/10012464003
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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
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What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
Barberis, Nicholas - 2006
explanation for this puzzle is based on prospect theory. Despite its prominence, this explanation has received little formal … scrutiny. We take up this task, and analyze the trading behavior of investors with prospect theory preferences. We find that …, at least for the simplest implementation of prospect theory, the link between these preferences and the disposition …
Persistent link: https://www.econbiz.de/10012466268
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Information Cascades : Evidence from An Experiment with Financial Market Professionals
Alevy, Jonathan E. - 2006
Previous empirical studies of information cascades use either naturally occurring data or laboratory experiments with student subjects. We combine attractive elements from each of these lines of research by observing market professionals from the Chicago Board of Trade (CBOT) in a controlled...
Persistent link: https://www.econbiz.de/10012465894
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Margin-Based Asset Pricing and Deviations from the Law of One Price
Gârleanu, Nicolae - 2011
In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities' required returns are characterized both by their betas and their margin requirements. Negative shocks to fundamentals make margin constraints bind, lowering risk-free rates and raising Sharpe...
Persistent link: https://www.econbiz.de/10012461880
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Securities Laws, Disclosure, and National Capital Markets in the Age of Financial Globalization
Stulz, René M. - 2008
As barriers to international investment fall and technology improves, the cost advantages for a firm's securities to trade publicly in the country in which that firm is located and for that country to have a market for publicly traded securities distinct from the capital markets of other...
Persistent link: https://www.econbiz.de/10012464429
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A Multiplier Approach to Understanding the Macro Implications of Household Finance
Chien, YiLi - 2007
Our paper examines the impact of heterogeneous trading technologies for households on asset prices and the distribution of wealth. We distinguish between passive traders who hold fixed portfolios of stocks and bonds, and active traders who adjust their portfolios to changes in expected returns....
Persistent link: https://www.econbiz.de/10012465060
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Enforcement Problems and Secondary Markets
Broner, Fernando A. - 2007
There is a large and growing literature that studies the effects of weak enforcement institutions on economic performance. This literature has focused almost exclusively on primary markets, in which assets are issued and traded to improve the allocation of investment and consumption. The general...
Persistent link: https://www.econbiz.de/10012465088