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Do Sell-Side Analysts Say "Buy" While Whispering "Sell"?

Hirshleifer, David; Shi, Yushui; Wu, Weili - National Bureau of Economic Research - 2022

We examine how sell-side equity analysts strategically disclose information of differing quality to the public versus the buy-side mutual fund managers to whom they are connected. We consider cases in which analysts recommend that the public buys a stock, but some fund managers sell it. We...

Persistent link: https://www.econbiz.de/10013210060

Decision Fatigue and Heuristic Analyst Forecasts

Hirshleifer, David - 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/10012453421

Machine Forecast Disagreement

Bali, Turan G.; Kelly, Bryan T.; Mörke, Mathis; … - National Bureau of Economic Research - 2023

aligns with extant measures of disagreement (e.g., analyst forecast dispersion), but is a significantly stronger predictor of … disagreement and future returns. A decile spread portfolio that is short stocks with high forecast disagreement and long stocks …

Persistent link: https://www.econbiz.de/10014337816

War Discourse and the Cross Section of Expected Stock Returns

Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023

A war-related factor model derived from textual analysis of media news reports explains the cross section of expected asset returns. Using a semi-supervised topic model to extract discourse topics from 7,000,000 New York Times stories spanning 160 years, the war factor predicts the cross section...

Persistent link: https://www.econbiz.de/10014322736

Supply and Demand and the Term Structure of Interest Rates

Greenwood, Robin; Hanson, Samuel G.; Vayanos, Dimitri - National Bureau of Economic Research - 2023

We survey the growing literature emphasizing the role that supply-and-demand forces play in shaping the term structure of interest rates. Our starting point is the Vayanos and Vila (2009, 2021) model of the term structure of default-free bond yields, which we present in both discrete and...

Persistent link: https://www.econbiz.de/10014437010

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

Finance Without Exotic Risk

Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; … - National Bureau of Economic Research - 2024

earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and …

Persistent link: https://www.econbiz.de/10015072945

The Disappearing Index Effect

Greenwood, Robin; Sammon, Marco C. - National Bureau of Economic Research - 2022

The abnormal return associated with a stock being added to the S&P 500 has fallen from an average of 3.4% in the 1980s and 7.6% in the 1990s to 0.8% over the past decade. This has occurred despite a significant increase in the percentage of stock market assets linked to the index. A similar...

Persistent link: https://www.econbiz.de/10013477240

Corporate Social Responsibility

Hong, Harrison G.; Shore, Edward P. - National Bureau of Economic Research - 2022

Is shareholder interest in corporate social responsibility driven by pecuniary motives (abnormal rates of return) or non-pecuniary ones (willingness to sacrifice returns to address various firm externalities)? To answer this question, we categorize the literature into seven tests: (1) costs of...

Persistent link: https://www.econbiz.de/10013477263

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

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