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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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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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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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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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Momentum and Short-Term Reversals : Theory and Evidence
Jegadeesh, Narasimhan; Luo, Jiang; Subrahmanyam, Avanidhar - 2022
How might markets exhibit both short-term reversals and longer-term momentum? Motivated by this question, we develop a dynamic model which includes noise traders and investors who underreact to signals that they do not themselves produce. Our setting implies the following: Return predictability...
Persistent link: https://www.econbiz.de/10013292592
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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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Feedback from stock prices to cash flows
Subrahmanyam, Avanidhar; Titman, Sheridan - In: The journal of finance : the journal of the American … 56 (2001) 6, pp. 2389-2413
Persistent link: https://www.econbiz.de/10001631759
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Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation
Chordia, Tarun - 2017
A significant fraction of firms' financing occurs via public debt markets. Accordingly, we investigate whether financial statement characteristics and other variables that predict equity returns also predict corporate bond returns. Profitability, asset growth, and equity market capitalization...
Persistent link: https://www.econbiz.de/10012972906
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Are capital market anomalies common to equity and corporate bond markets? : an empirical investigation
Chordia, Tarun; Goyal, Amit; Nozawa, Yoshio; … - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1301-1342
Persistent link: https://www.econbiz.de/10011927915