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On the Economic Consequences of Index-Linked Investing
Wurgler, Jeffrey - 2010
distorting corporate investment and financing decisions, investor portfolio allocation decisions, fund manager skill assessments …
Persistent link: https://www.econbiz.de/10013138775
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The Rise of Passive Investing and Index-linked Comovement
Gregoire, Vincent - 2019
I introduce a general equilibrium model with active investors and indexers. Indexing causes market segmentation, and the degree of segmentation is a function of the relative wealth of indexers in the economy. Shocks to this relative wealth induce correlated shocks to discount rates of index...
Persistent link: https://www.econbiz.de/10012905258
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More Powerful Tests for Anomalies in the China A-Share Market
Jansen, Maarten; Swinkels, Laurens; Zhou, Weili - 2023
Research into asset pricing anomalies in the China A-share market is hampered given the short time series of available returns. Even when average excess returns on candidate factor portfolios are economically sizeable, conventional portfolio sorting methods lack statistical power. We apply an...
Persistent link: https://www.econbiz.de/10014254029
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Anomalies in the China A-share Market
Jansen, Maarten; Swinkels, Laurens; Zhou, Weili - 2021
This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000-2019. We find that value, risk, and trading...
Persistent link: https://www.econbiz.de/10013236384
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New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets
Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023
portfolios -shaped according to lagged jump returns- incurs 0.8% of risk-adjusted loss in 1-month investment horizon. Together …
Persistent link: https://www.econbiz.de/10014254878
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent … with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully … accounts for aggregate investment's predictive power for future stock market returns. Similarly, conditional equity premium is …
Persistent link: https://www.econbiz.de/10012960222
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent … with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully … accounts for aggregate investment's predictive power for future stock market returns. Similarly, conditional equity premium is …
Persistent link: https://www.econbiz.de/10012968442
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Stock market rumors and credibility
Schmidt, Daniel - 2019
's incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions … of message-receiving investors. The model's key prediction is that short investment horizons can facilitate credible …
Persistent link: https://www.econbiz.de/10012250063
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The Real Value of China's Stock Market
Carpenter, Jennifer N. - 2018
. Price informativeness is significantly correlated with corporate investment efficiency. For international investors, China …
Persistent link: https://www.econbiz.de/10012929566
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The Profitability and Investment Factors in the Chinese Stock Market
Hou, Fangfang - 2019
as follows: (1) neither the FF investment factor nor the HXZ investment factor earns a significant return in the Chinese … the four HXZ factors, namely size, profitability, and investment, cannot be explained by the five FF factors; (4) the best …
Persistent link: https://www.econbiz.de/10012902389