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Valuation, Adverse Selection, and Market Collapses
Fishman, Michael J. - 2012
We study a market for funding real investment in which valuation creates information on which adverse selection can occur. Unlike in previous models, higher amounts of valuation are associated with lower market prices and so greater returns to valuation, and this strategic complementarity in the...
Persistent link: https://www.econbiz.de/10013100990
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Decision Fatigue and Heuristic Analyst Forecasts
Hirshleifer, David A. - 2018
Psychological evidence indicates that decision quality declines after an extensive session of decision-making, a … phenomenon known as decision fatigue. We study whether decision fatigue affects analysts' judgments. Analysts cover multiple … the number of forecasts the analyst has already issued increases. Also consistent with decision fatigue, we find that the …
Persistent link: https://www.econbiz.de/10012926415
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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/10013130782
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Momentum Crashes
Daniel, Kent D. - 2015
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10013032704
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Equity Yields
van Binsbergen, Jules H. - 2011
We study a new data set of prices of traded dividends with maturities up to 10 years across three world regions: the US, Europe, and Japan. We use these asset prices to construct equity yields, analogous to bond yields. We decompose these yields to obtain a term structure of expected dividend...
Persistent link: https://www.econbiz.de/10013120296
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Attention, Demographics, and the Stock Market
DellaVigna, Stefano - 2010
Do investors pay enough attention to long-term fundamentals? We consider the case of demographic information. Cohort size fluctuations produce forecastable demand changes for age-sensitive sectors, such as toys, bicycles, beer, life insurance, and nursing homes. These demand changes are...
Persistent link: https://www.econbiz.de/10012762482
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Short Sale Constraints and Stock Returns
Jones, Charles M. - 2010
Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand...
Persistent link: https://www.econbiz.de/10012763109
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Equity Market Liberalizations as Country Ipos
Martell, Rodolfo - 2009
Equity market liberalizations are like IPOs, but they are IPOs of a country's stock market rather than of individual firms. Both are endogenous events whose benefits are limited by poor investor protection, agency costs, and information asymmetries. As for stock prices following an IPO, there...
Persistent link: https://www.econbiz.de/10012767766
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Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks
Kim, Jung-Wook - 2013
Using complete order books from the Korea Stock Exchange for a four-year period including the 1997 Asian financial crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably finite elasticities. These fall markedly, by about 40%,...
Persistent link: https://www.econbiz.de/10012753216
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Portfolio Choice with Illiquid Assets
Ang, Andrew - 2013
We present a model of optimal allocation over liquid and illiquid assets, where illiquidity is the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity leads to increased and state-dependent risk aversion, and reduces the allocation to both liquid and...
Persistent link: https://www.econbiz.de/10013076171