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Changing Times, Changing Values : A Historical Analysis of Sectors within the Us Stock Market 1872-2013
Bunn, Oliver - 2014
We construct a price, dividend, and earnings series for the Industrials sector, the Utilities sector, and the Railroads sector from the beginning of the 1870s until the beginning of the year 2013 from primary sources. To infer about mispricings in the sector markets over more than a century, we...
Persistent link: https://www.econbiz.de/10013049370
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Decision Fatigue and Heuristic Analyst Forecasts
Hirshleifer, David A. - 2018
firms and often issue several forecasts in a single day. We find that forecast accuracy declines over the course of a day as … closely with the consensus forecast, by self-herding (i.e., reissuing their own previous outstanding forecasts), and by … issuing a rounded forecast. Finally, we find that the stock market understands these effects and discounts for analyst …
Persistent link: https://www.econbiz.de/10012926415
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Four Centuries of Return Predictability
Golez, Benjamin - 2015
/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …
Persistent link: https://www.econbiz.de/10013031015
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Forecasting Profitability
Rosenzweig, Mark R. - 2013
areas of India, and that farmers respond more strongly to the forecast where there is more forecast skill and not at all … when there is no skill. We show, using an IV strategy in which the Indian government forecast of monsoon rainfall serves as … estimated. Using the full rainfall distribution and our profit function estimates, we find that Indian farmers on average under …
Persistent link: https://www.econbiz.de/10013077650
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Straight Talkers and Vague Talkers : The Effects of Managerial Style in Earnings Conference Calls
Dzieliński, Michał - 2017
Managers conducting earnings conference calls display distinctive styles in their word choice. Some CEOs and CFOs are straight talkers. Others, by contrast, are vague talkers. Vague talkers routinely use qualifying words indicating uncertainty, such as “approximately”, “probably”, or...
Persistent link: https://www.econbiz.de/10012955937
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Earnings Quality and Stock Returns
Chan, Konan - 2010
An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, negatively associated with future stock returns. Earnings increases that are accompanied by high accruals,...
Persistent link: https://www.econbiz.de/10012763145
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Fundamentally, Momentum is Fundamental Momentum
Novy-Marx, Robert - 2015
Momentum in firm fundamentals, i.e., earnings momentum, explains the performance of strategies based on price momentum. Earnings surprise measures subsume past performance in cross sectional regressions of returns on firm characteristics, and the time-series performance of price momentum...
Persistent link: https://www.econbiz.de/10013027261
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Market Reactions to Tangible and Intangible Information
Daniel, Kent D. - 2010
We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...
Persistent link: https://www.econbiz.de/10012762814
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Valuation Ratios and the Long-Run Stock Market Outlook : An Update
Campbell, John Y. - 2010
The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970. Various simple efficient-markets models of financial markets imply that...
Persistent link: https://www.econbiz.de/10012763169
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Forecasting Stock Market Returns : The Sum of the Parts is More than the Whole
Ferreira, Miguel A. - 2009
We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the...
Persistent link: https://www.econbiz.de/10012765583