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There is substantial evidence that indicates that stocks that perform the best (worst) over a three- to 12-month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Until recently, trading strategies that exploit this phenomenon were consistently profitable...
Persistent link: https://www.econbiz.de/10013112728
There is substantial evidence that indicates that stocks that perform the best (worst) over a three to 12 month period tend to continue to perform well (poorly) over the subsequent three to 12 months. Up until recently, trading strategies that exploit this phenomenon were consistently profitable...
Persistent link: https://www.econbiz.de/10013120998
We decompose consensus analyst long-term growth forecasts into a hard growth component that captures accounting information (asset and sales growth, profitability and equity dilution) and an orthogonal soft growth component. The soft component does not forecast future returns, and the hard...
Persistent link: https://www.econbiz.de/10012969603
Persistent link: https://www.econbiz.de/10014463350
Listed Chinese companies can issue A-shares that are held mainly by domestic investors and B-shares that are held mainly by foreign investors. Although these twin shares have identical cash flow rights and are traded in the same location, A-shares are almost always priced higher than B-shares....
Persistent link: https://www.econbiz.de/10012931318
We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...
Persistent link: https://www.econbiz.de/10012902895
We examine the relation between the social ties between firms' headquarters locations and co-movements between their fundamentals and stock returns. Our evidence indicates that firms in the same industry with socially connected locations exhibit co-movement in fundamentals and stock returns that...
Persistent link: https://www.econbiz.de/10014236559
Persistent link: https://www.econbiz.de/10011690857
We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...
Persistent link: https://www.econbiz.de/10012871563
We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...
Persistent link: https://www.econbiz.de/10012479727