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Decision Fatigue and Heuristic Analyst Forecasts
Hirshleifer, David - 2018
firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as … closely with the consensus forecast, by self-herding (i.e., reissuing their own previous outstanding forecasts), and by … issuing a rounded forecast. Finally, we find that the stock market understands these effects and discounts for analyst …
Persistent link: https://www.econbiz.de/10012453421
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Four Centuries of Return Predictability
Golez, Benjamin - 2014
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10012457852
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Overconfident Investors, Predictable Returns, and Excessive Trading
Daniel, Kent - 2016
Individuals and asset managers trade aggressively, resulting in high volume in asset markets, even when such trading results in high risk and low net returns. Asset prices display patterns of predictability that are difficult to reconcile with rational expectations-based theories of price...
Persistent link: https://www.econbiz.de/10012456728
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Earnings Quality and Stock Returns
Chan, Konan - 2001
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/10012470416
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Do Acquirers With More Uncertain Growth Prospects Gain Less From Acquisitions?
Moeller, Sara B. - 2004
Behavioral finance models imply that an increase in shares outstanding leads to a lower stock price for firms with greater diversity in opinion among investors. Information asymmetry models imply that share issues by firms with greater information asymmetries are accompanied by larger share...
Persistent link: https://www.econbiz.de/10012467917
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Changing Times, Changing Values : A Historical Analysis of Sectors within the US Stock Market 1872-2013
Bunn, Oliver D. - 2014
We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...
Persistent link: https://www.econbiz.de/10012458297
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Forecasting Profitability
Rosenzweig, Mark - 2013
areas of India, and that farmers respond more strongly to the forecast where there is more forecast skill and not at all … when there is no skill. We show, using an IV strategy in which the Indian government forecast of monsoon rainfall serves as … estimated. Using the full rainfall distribution and our profit function estimates, we find that Indian farmers on average under …
Persistent link: https://www.econbiz.de/10012459327
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Market Reactions to Tangible and Intangible Information
Daniel, Kent - 2003
We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...
Persistent link: https://www.econbiz.de/10012468955
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2013
We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. The latter is increasing in risk aversion in a wide variety of economic settings. We tackle several measurement issues assessing a plethora...
Persistent link: https://www.econbiz.de/10012459667
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Predictable Financial Crises
Greenwood, Robin - 2020
Using historical data on post-war financial crises around the world, we show that crises are substantially predictable. The combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with about a 40%...
Persistent link: https://www.econbiz.de/10012481591