Showing 1 - 10 of 110
Technical trading strategies assume that past changes in prices help predict future changes. This makes sense if the past price trend reflects fundamental information that has not yet been fully incorporated in the current price. However, if the past price trend only reflects temporary pricing...
Persistent link: https://www.econbiz.de/10003801618
Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns. Besides statistical significance, the...
Persistent link: https://www.econbiz.de/10012620725
Mobile internet devices reduce trading frictions and information search costs for investors, but also introduce attention-competing activities,such as social networking. We use exogenous nationwide and city-level outages of the Blackberry Internet Service (BIS) to investigate the effect of...
Persistent link: https://www.econbiz.de/10012818286
Taking a firm's competitive position into account benefits investors who are better at evaluating this qualitative information. I find that fund managers who overweight companies with market power outperform their peers. Placebo exercises and an exogenous shock to product market competition...
Persistent link: https://www.econbiz.de/10012414777
Taking a firm’s competitive position into account benefits investors who are better at evaluating this qualitative information. I find that fund managers who overweight companies withmarket power outperform their peers. Placebo exercises and an exogenous shock to productmarket competition...
Persistent link: https://www.econbiz.de/10012429433
We explore the relation between customer satisfaction and security returns. Firms with high customer satisfaction levels earn significant abnormal returns. This result is robust to variations of model specification and test methodology. Additional tests do not reveal evidence of systematic...
Persistent link: https://www.econbiz.de/10012387257
We examine the impact of ETF ownership on the commonality in liquidity of underlying stocks, while controlling for other institutional ownership. Analyses using aggregate stock-level ETF ownership and common ETF ownership at the stock-pair level indicate that ETF ownership significantly...
Persistent link: https://www.econbiz.de/10012490478
I provide evidence that fund managers who overweight firms with the most differentiated products ('monopolies') exhibit a superior risk-adjusted performance. This is consistent with information advantages due to a better understanding of qualitative information on a firm's competitive...
Persistent link: https://www.econbiz.de/10011539240
Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of an experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and...
Persistent link: https://www.econbiz.de/10012309456
This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...
Persistent link: https://www.econbiz.de/10011553310