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When Overconfident Traders Meet Feedback Traders
Germain, Laurent - 2011
and burst). The positive feedback trading enhances the negative serial correlation of prices and the volatility of prices …, overconfidence increases the volatility of prices and worsens the market efficiency. But, we show that in the presence of positive … feedback trading, overconfidence improves the market efficiency and dampens the excess volatility. When negative feedback …
Persistent link: https://www.econbiz.de/10013125530
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Investor Awareness or Information Asymmetry? Wikipedia and IPO Underpricing
Boulton, Thomas Jason - 2019
We use the presence of a Wikipedia article for initial public offering (IPO) firms to test theories of information asymmetry and investor awareness. While we find limited support for the former, our results provide strong support for theories of investor awareness. Specifically, IPO firms with a...
Persistent link: https://www.econbiz.de/10012902371
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The Information Risk Drivers - 15 Years of Analysis to Support a Risk Premia Modelling
Mantovani, Guido Max - 2012
Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific portfolio strategies. Drivers of information risk are...
Persistent link: https://www.econbiz.de/10013116526
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Local Information Advantage, Investor Attention, and Stock Returns
Huang, Yuqin - 2016
We construct a measure of abnormal relative attention (ARA), reflecting unusual changes in attention paid to a stock by local relative to non-local investors, to measure local information advantages. An increase in this measure predicts higher returns in the short term. This predictive power is...
Persistent link: https://www.econbiz.de/10013005876
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Volatility, valuation ratios, and bubbles : an empirical measure of market sentiment
Gao, Can; Martin, Ian - 2021
closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …
Persistent link: https://www.econbiz.de/10012489383
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Private Information in the Chinese Stock Market : Evidence from Mutual Funds and Corporate Insiders
Chi, Yeguang - 2017
I find evidence of valuable private information in the Chinese stock market. First, Chinese actively managed stock mutual funds outperform passive benchmarks including market, size, value, and momentum factors. Most funds appear to have skill, and much of that skill consists of stock-picking...
Persistent link: https://www.econbiz.de/10012968533
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Trading in the Presence of Short-Lived Private Information : Evidence from Analyst Recommendation Changes
Kadan, Ohad - 2017
We use a proprietary dataset to test the implications of several asymmetric information models on how short-lived private information affects trading strategies and liquidity provision. Our identification rests on information acquisition before analyst recommendations are publically announced....
Persistent link: https://www.econbiz.de/10012973309
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Outside Insiders : Does Access to Information Prior to an IPO Generate a Trading Advantage After the IPO?
Ozmel, Umit - 2016
We investigate whether access to information prior to an IPO generates a trading advantage after the IPO. We find that limited partners (LPs) of venture capital funds obtain high returns when they invest in newly listed stocks backed by their funds. These returns are not explained by LPs'...
Persistent link: https://www.econbiz.de/10013005321
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Overconfidence, Information Diffusion, and Mispricing Persistence
Daniel, Kent D. - 2020
Short-sale constrained past-winners and losers both underperform strongly in the first year post-formation, earning market-adjusted returns of −13%, and −17%, respectively. However, constrained winners continue to underperform for the following four years, earning a cumulative...
Persistent link: https://www.econbiz.de/10012850746
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Information Acquisition Experience, Investor Sophistication, and IPO Price Pressure
Köchling, Gerrit; Posch, Peter N.; Schmidtke, Philipp - 2021
We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...
Persistent link: https://www.econbiz.de/10013236779