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Chan, Konan - 2010

performance, the behavior of individual accrual items, and discretionary versus nondiscretionary components of accruals …An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the … increases that are accompanied by high accruals, suggesting low-quality earnings, are associated with poor future returns. We …

Persistent link: https://www.econbiz.de/10012763145

Financial Constraints and Stock Returns

Lamont, Owen A. - 2008

We test whether the impact of financial constraints on firm value is observable in assetquot; returns. We form portfolios of firms based on observable characteristics related to financialquot; constraints, and test for common covariation in the stock returns of these firms. Using severalquot;...

Persistent link: https://www.econbiz.de/10012774925

David, Joel - 2015

Firm-level stock returns exhibit comovement above that in fundamentals, and the gap tends to be higher in developing countries. We investigate whether correlated beliefs among sophisticated, but imperfectly informed, traders can account for the patterns of return correlations across countries....

Persistent link: https://www.econbiz.de/10013017087

Levered Returns

Welch, Ivo - 2016

Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...

Persistent link: https://www.econbiz.de/10012994892

Capital Share Risk in U.S. Asset Pricing

Lettau, Martin - 2014

A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in...

Persistent link: https://www.econbiz.de/10013040236

Predicting Returns with Text Data

Ke, Zheng Tracy - 2019

We introduce a new text-mining methodology that extracts sentiment information from news articles to predict asset returns. Unlike more common sentiment scores used for stock return prediction (e.g., those sold by commercial vendors or built with dictionary-based methods), our supervised...

Persistent link: https://www.econbiz.de/10012863706

Four Centuries of Return Predictability

Golez, Benjamin - 2015

We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast returns. The documented predictability holds for...

Persistent link: https://www.econbiz.de/10013031015

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/10013127985

What Does Futures Market Interest Tell Us About the Macroeconomy and Asset Prices?

Hong, Harrison G. - 2011

Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find...

Persistent link: https://www.econbiz.de/10013131237

Inflation Illusion and Stock Prices

Campbell, John Y. - 2011

We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...

Persistent link: https://www.econbiz.de/10013133237

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