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Industry information diffusion and the lead-lag effect in stock returns

Hou, Kewei - In: The review of financial studies 20 (2007) 4, pp. 1113-1138

Persistent link: https://www.econbiz.de/10003554486

Market frictions, price delay, and the cross-section of expected returns

Hou, Kewei; Moskowitz, Tobias J. - In: The review of financial studies 18 (2005) 3, pp. 981-1020

Persistent link: https://www.econbiz.de/10003133579

Systemic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016

Using a structural model of default, we construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. The systemic default measure spikes during recession...

Persistent link: https://www.econbiz.de/10011810905

A financial-based misvaluation factor and the cross-section of expected returns

Hirshleifer, David; Jiang, Danling - In: The review of financial studies 23 (2010) 9, pp. 3401-3436

Persistent link: https://www.econbiz.de/10008664112

Are investors really reluctant to realize their losses? : trading responses to past returns and the disposition effect

Ben-David, Itzhak; Hirshleifer, David - In: The review of financial studies 25 (2012) 8, pp. 2485-2532

Persistent link: https://www.econbiz.de/10009630253

Discussion of "Sidelined investors, trading-generated news, and security returns"

Veronesi, Pietro - In: The review of financial studies 15 (2002) 2, pp. 649-654

Persistent link: https://www.econbiz.de/10001688860