Narrow search
Showing 1 - 10 of 777
Cover Image
Information Content of Equity Analyst Reports
Asquith, Paul - 2002
This paper investigates the market reaction to the information released in security analyst reports. It shows that the market reacts significantly and positively to changes in recommendation levels, earnings forecasts, and price targets. While changes in price targets and earnings forecasts both...
Persistent link: https://www.econbiz.de/10012787095
Cover Image
Advisors and Asset Prices : A Model of the Origins of Bubbles
Scheinkman, José - 2007
We develop a model of asset price bubbles based on the communication process between advisors and investors. Advisors are well-intentioned and want to maximize the welfare of their advisees (like a parent treats a child). But only some advisors understand the new technology (the tech-savvies);...
Persistent link: https://www.econbiz.de/10012775799
Cover Image
Investor Sophistication and Capital Income Inequality
Kacperczyk, Marcin T. - 2014
What contributes to the growing income inequality across U.S. households? We develop an information- based general equilibrium model that links capital income derived from financial assets to a level of investor sophistication. Our model implies income inequality between sophisticated and...
Persistent link: https://www.econbiz.de/10013052134
Cover Image
Bad News Travels Slowly : Size, Analyst Coverage and the Profitability of Momentum Strategies
Hong, Harrison G. - 2008
A number of theories have been proposed to explain the medium-term momentum in stock returns identified by Jegadeesh and Titman (1993). We test one such theory--based on the gradual-information-diffusion model of Hong and Stein (1997)--and establish three key results. First, once one moves past...
Persistent link: https://www.econbiz.de/10012774896
Cover Image
Complex Asset Markets
Eisfeldt, Andrea L. - 2017
We develop a dynamic equilibrium model of complex asset markets with endogenous entry and exit in which the investment technology of investors with more expertise is subject to less asset-specific risk. The joint equilibrium distribution of financial expertise and wealth then determines risk...
Persistent link: https://www.econbiz.de/10012954920
Cover Image
Crash Beliefs from Investor Surveys
Goetzmann, William N. - 2018
Historical data suggest that the base rate for a severe, single-day stock market crash is relatively low. Surveys of individual and institutional investors, conducted regularly over a 26-year period in the United States, show that they assess the probability to be much higher. We examine factors...
Persistent link: https://www.econbiz.de/10012936272
Cover Image
Alpha and Performance Measurement : The Effects of Investor Disagreement and Heterogeneity
Ferson, Wayne E. - 2013
The literature has not unambiguously established that a positive alpha, as traditionally measured, means that an investor would want to buy a fund. However, when alpha is defined using the client's marginal utility function, a client faced with a positive alpha would generally want to buy. When...
Persistent link: https://www.econbiz.de/10013077226
Cover Image
The Value of Information in International Trade : Gains to Outsourcing Through Hong Kong
Feenstra, Robert C.; Hanson, Gordon H.; Lin, Songhua - 2021
In this paper, we estimate the benefits to countries that purchase goods from China of having access to intermediary … services provided by Hong Kong. Traders in Hong Kong supply information on markets and producers in China, which provides … China exported to the rest of the world. Our results suggests that gains to intermediary services provided by Hong Kong …
Persistent link: https://www.econbiz.de/10013221844
Cover Image
Social Trust and Differential Reactions of Local and Foreign Investors to Public News
Jia, Chunxin - 2015
This paper uses the segmented dual-class shares issued by several dozen Chinese firms---A shares to local Chinese investors and H shares to foreign investors---to compare reactions of local and foreign investors to the same public news. We find that local investors react more strongly to...
Persistent link: https://www.econbiz.de/10013024501
Cover Image
Leverage-Induced Fire Sales and Stock Market Crashes
Bian, Jiangze - 2018
We provide direct evidence of leverage-induced fire sales contributing to a market crash using account-level trading data for brokerage- and shadow-financed margin accounts during the Chinese stock market crash of 2015. Margin investors heavily sell their holdings when their account-level...
Persistent link: https://www.econbiz.de/10012911095