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(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
Daniel, Kent D. - 2018
. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns …
Persistent link: https://www.econbiz.de/10012918741
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Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?
Chordia, Tarun - 2014
We examine whether the recent regime of increased liquidity and trading activity is associated with attenuation of prominent equity return anomalies due to increased arbitrage. We find that the majority of the anomalies have attenuated, and the average returns from a portfolio strategy based on...
Persistent link: https://www.econbiz.de/10013066330
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Sentiment and Momentum
Doukas, John A. - 2019
This paper sheds empirical light on whether sentiment affects the profitability of price momentum strategies. We hypothesize that news that contradicts investors' sentiment causes cognitive dissonance, which slows the diffusion of signals that oppose the direction of sentiment. This phenomenon...
Persistent link: https://www.econbiz.de/10012906186
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Order flow volatility and equity costs of capital
Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; … - In: Management science : journal of the Institute for … 65 (2019) 4, pp. 1520-1551
Persistent link: https://www.econbiz.de/10012022640
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Order Flow Volatility and Equity Costs of Capital
Chordia, Tarun - 2017
We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility … varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility …. Levels of and shocks to order flow volatility are positively and significantly correlated with existing illiquidity proxies …
Persistent link: https://www.econbiz.de/10012973303
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Momentum and Reversals when Overconfident Investors Underestimate Their Competition
Luo, Jiang - 2019
We develop a model where overconfident investors overestimate their own signal quality but are skeptical of others'. Those investors who are initially uninformed believe that the early informed have learned little, leading the former investors to provide excess liquidity, which, in turn, causes...
Persistent link: https://www.econbiz.de/10012901605
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Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with publicly listed and private firms. In our setting, stock prices are...
Persistent link: https://www.econbiz.de/10013089186
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Post-Fundamentals Drift in Stock Prices : A Regression Regularization Perspective
Avramov, Doron - 2020
Regression regularization techniques show that deviations of accounting fundamentals from their preceding moving averages forecast drifts in equity market prices. The deviations-based predictability survives a comprehensive set of prominent anomalies. The profitability applies strongly to the...
Persistent link: https://www.econbiz.de/10012845643
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Financial Intermediaries and Contagion in Market Efficiency : The Case of ETFs
Hong, Claire Yurong; Li, Frank Weikai; Subrahmanyam, … - 2022
Capital constraints of financial intermediaries can affect liquidity provision. We investigate whether these constraints spillover and consequently cause contagion in the degree of market efficiency across assets managed by a common intermediary. Specifically, we provide evidence of strong...
Persistent link: https://www.econbiz.de/10013295022
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Changing Expected Returns Can Induce Spurious Components in Autocorrelations
Pukthuanthong, Kuntara; Roll, Richard; Subrahmanyam, … - 2022
Movements in expected returns (ER) can cause a bias in measured autocorrelations, and the resulting spurious component is positive for infrequent regime shifts. We demonstrate this point analytically and investigate its empirical prevalence. In a key contribution, we use shifts in ex ante ER...
Persistent link: https://www.econbiz.de/10013405361