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How and When are High-Frequency Stock Returns Predictable?
Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...
Persistent link: https://www.econbiz.de/10013362020
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Avoiding Idiosyncratic Volatility : Flow Sensitivity to Individual Stock Returns
Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - National Bureau of Economic Research - 2023
Despite positive and significant earnings announcement premia, we find that institutional investors reduce their exposure to stocks before earnings announcements. A novel result on the sensitivity of flows to individual stock returns provides a potential explanation. We show that extreme...
Persistent link: https://www.econbiz.de/10014322748
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Multifrequency News and Stock Returns
Calvet, Laurent E. - 2005
-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …
Persistent link: https://www.econbiz.de/10012467238
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Corporate Social Responsibility
Hong, Harrison G.; Shore, Edward P. - National Bureau of Economic Research - 2022
Is shareholder interest in corporate social responsibility driven by pecuniary motives (abnormal rates of return) or non-pecuniary ones (willingness to sacrifice returns to address various firm externalities)? To answer this question, we categorize the literature into seven tests: (1) costs of...
Persistent link: https://www.econbiz.de/10013477263
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
higher than justified by investors' own subsequent short-term return expectations. This excess volatility in forward … expectations helps account for excess volatility in prices, inelastic demand for equities, and stylized facts about the equity term …
Persistent link: https://www.econbiz.de/10014372444
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Procyclical Stocks Earn Higher Returns
Goetzmann, William N.; Watanabe, Akiko; Watanabe, Masahiro - National Bureau of Economic Research - 2024
We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks. We use almost a three-quarter century of real GDP growth expectations from economists' surveys to determine forecasted economic states. This approach largely...
Persistent link: https://www.econbiz.de/10014544787
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A Model of Momentum
Liu, Laura Xiaolei - 2011
interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model …
Persistent link: https://www.econbiz.de/10012461911
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Disposition Matters : Volume, Volatility and Price Impact of a Behavioral Bias
Goetzmann, William N. - 2003
, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …
Persistent link: https://www.econbiz.de/10012469203
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Variable Rare Disasters : An Exactly Solved Framework for Ten Puzzles in Macro-Finance
Gabaix, Xavier - 2008
qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate …
Persistent link: https://www.econbiz.de/10012464923
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The Short of It : Investor Sentiment and Anomalies
Stambaugh, Robert F. - 2011
This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting where the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale...
Persistent link: https://www.econbiz.de/10012461759