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Rain or Shine : Where is the Weather Effect?

Zhu, Ning - 2009

Saunders (1993) and Hirshleifer and Shumway (2001) document the effect of weather on stock returns. The proposed explanation in both papers is that investor mood affects cognitive processes and trading decisions. In this paper, we use a database of individual investor accounts to examine the...

Persistent link: https://www.econbiz.de/10012722073

Tiebreaker : Certification and Multiple Credit Ratings

Bongaerts, Dion - 2011

's, Samp;P and Fitch operate in a competitive setting with market demand for both credit information and the certification … bonds are also rated by Fitch. This apparent redundancy in information production has long been a puzzle. We consider three … explanations for why issuers apply for a third rating: lsquo;information production,' lsquo;adverse selection' and lsquo …

Persistent link: https://www.econbiz.de/10012756382

Dispersion of Opinion and Stock Returns : Evidence from Index Fund Investors

Massa, Massimo - 2003

We address the issue of how heterogeneity of trade among investors affects stock returns. We develop a model of the dispersion of opinion among investors that has implications for asset pricing. We test the relationship between dispersion of investor opinion and stock returns using a two-year...

Persistent link: https://www.econbiz.de/10012740530

Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors

Massa, Massimo - 2001

We address the issue of how the heterogeneity of trade among investors affects stock returns. We model and test the relationship between dispersion of opinion, heterogeneity of trade and stock returns. The empirical investigation makes use of a two-year panel of more than 91 thousand individual...

Persistent link: https://www.econbiz.de/10012742643

Fees on Fees in Funds of Funds

Brown, Stephen J. - 2009

information advantage of funds would more than compensate investors for these fees. Unfortunately, individual hedge funds dominate …

Persistent link: https://www.econbiz.de/10012722060

The Role of Soft and Hard Information in the Pricing of Assets and Contract Design - Evidence from Screenplay Sales

Goetzmann, William N. - 2008

There is a growing literature on the differential impact of soft vs. hard information on organizational structure and … behavior. Most empirical papers on soft information study the financial intermediation industry. This is one of the few papers … that measure the impact of soft information in a different industry, namely, on sales of spec (unsolicited) screenplays …

Persistent link: https://www.econbiz.de/10012725282

The Dow Theory : William Peter Hamilton's Track Record Re-Considered

Brown, Stephen J. - 2008

Alfred Cowles' (1934) test of the Dow Theory apparently provided strong evidence against the ability of Wall Street's most famous chartist to forecast the stock market. In this paper, we review Cowles' evidence and find that it supports the contrary conclusion -- that the Dow Theory, as applied...

Persistent link: https://www.econbiz.de/10012728390

Offshore Hedge Funds : Survival & Performance 1989-1995

Goetzmann, William N. - 2008

We examine the performance of the off-shore hedge fund industry over the period 1989 through 1995 using a database that includes both defunct and currently operating funds. The industry is characterized by high attrition rates of funds, low covariance with the U.S. stock market, evidence...

Persistent link: https://www.econbiz.de/10012728425

Pricing and Informational Efficiency of the Mib30 Index Options Market. An Analysis with High Frequency Data

Cassese, Gianluca - 2007

We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We find several indications inconsistent with the hypothesis that the Italian MIBO is an efficient market. We report that a striking percentage of the data...

Persistent link: https://www.econbiz.de/10012732304

Diamonds are Forever, Wars are Not. Is Conflict Bad for Private Firms?

Guidolin, Massimo - 2006

This paper studies the relationship between civil war and the value of firms in a poor, resource abundant country using microeconomic data for Angola. We focus on diamond mining firms and conduct an event study on the sudden end of the conflict, marked by the death of the rebel movement leader...

Persistent link: https://www.econbiz.de/10012735410