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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

Shared analyst coverage : unifying momentum spillover effects

Ali, Usman; Hirshleifer, David - In: Journal of financial economics 136 (2020) 3, pp. 649-675

Persistent link: https://www.econbiz.de/10012545703

Mood beta and seasonalities in stock returns

Hirshleifer, David; Jiang, Danling; Meng, Yuting - In: Journal of financial economics 137 (2020) 1, pp. 272-295

Persistent link: https://www.econbiz.de/10012631338

Shared Analyst Coverage : Unifying Momentum Spillover Effects

Ali, Usman - 2018

Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology...

Persistent link: https://www.econbiz.de/10012480853

Stock and Bond Returns with Moody Investors

Bekaert, Geert - 2006

We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by the...

Persistent link: https://www.econbiz.de/10012466421

Mood Betas and Seasonalities in Stock Returns

Hirshleifer, David - 2018

Existing research has documented cross-sectional seasonality of stock returns--the periodic outperformance of certain stocks relative to others during the same calendar month, weekday, or pre-holiday periods. A model in which stocks differ in their sensitivities to investor mood explains these...

Persistent link: https://www.econbiz.de/10012453044

Feedback and the success of irrational investors

Hirshleifer, David; Subrahmanyam, Avanidhar; Titman, … - In: Journal of financial economics 81 (2006) 2, pp. 311-338

Persistent link: https://www.econbiz.de/10003353929

Covariance Risk, Mispricing, and the Cross Section of Security Returns

Daniel, Kent D. - 2000

but systematic mispricing is not. The theory is consistent with several empirical findings regarding the cross-section of … equity returns, including: the observed ability of fundamental/price ratios to forecast aggregate and cross-sectional returns …, and of market value but not non-market size measures to forecast returns cross-sectionally; and the ability in some …

Persistent link: https://www.econbiz.de/10012471155