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Frog in the Pan : Continuous Information and Momentum
Da, Zhi - 2012
We develop and test a frog-in-the-pan (FIP) hypothesis that predicts investors are less attentive to information … arriving continuously in small amounts than to information with the same cumulative stock price implications arriving in large … than infrequent dramatic changes and construct an information discreteness measure to capture the intensity of firm …
Persistent link: https://www.econbiz.de/10013115137
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Frog in the Pan : Continuous Information and Momentum
Da, Zhi - 2013
We test a frog-in-the-pan (FIP) hypothesis that predicts investors are inattentive to information arriving continuously … infrequent dramatic changes. Consistent with the FIP hypothesis, we find that continuous information induces strong persistent … continuous information during their formation period to -2.07% for stocks with discrete information but similar cumulative …
Persistent link: https://www.econbiz.de/10013071411
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Disagreement after News : Gradual Information Diffusion or Differences of Opinion?
Fedyk, Anastassia - 2018
of canonical models of gradual information diffusion and differences of opinion. I use a unique dataset of clicks on news … trading among investors who see the same news but disagree regarding its interpretation. Consistent with gradual information …
Persistent link: https://www.econbiz.de/10012935788
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
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Alterntive tests for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2011
Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...
Persistent link: https://www.econbiz.de/10010316938
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013 - This Version: January 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10009747441
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Stock Returns and Trading Volume : Does the Size Matter?
Assan, Azhar - 2012
prominent as the size decreases. The study also shows that size is not having an impact on the information content of variables …. The information content is extremely important during crisis period …
Persistent link: https://www.econbiz.de/10013102207
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Testing for Monotonicity in Expected Asset Returns
Romano, Joseph P. - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10013092850
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How Market Sentiment Drives Forecasts of Stock Returns
Frydman, Roman - 2020
We reveal a novel channel through which market participants' sentiment influences how they forecast stock returns: their optimism (pessimism) affects the weights they assign to fundamentals. Our analysis yields four main findings. First, if good (bad) “news” about dividends and interest...
Persistent link: https://www.econbiz.de/10012834037
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392