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Analyst Interest as an Early Indicator of Firm Fundamental Changes and Stock Returns
Jung, Michael J. - 2017
We posit that a change in analyst interest in a firm is an early indicator of the firm's future fundamentals, capital market activities, and stock returns. We measure increases in analyst interest by observing analysts who do not cover a firm but participate in that firm's earnings conference...
Persistent link: https://www.econbiz.de/10012972900
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Analyst Interest as an Early Indicator of Firm Fundamental Changes and Stock Returns
Jung, Michael J. - 2017
We posit that a change in analyst interest in a firm is an early indicator of the firm's future fundamentals, capital market activities, and stock returns. We measure increases in analyst interest by observing analysts who do not cover a firm but participate in that firm's earnings conference...
Persistent link: https://www.econbiz.de/10012975251
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CAPM : Correlation and Regression 10 Stocks Comparing With Market Index
Hiranto, Pattaraporn - 2019
This study presents the correlation and regression between ten different selected stocks which are Berkshire Hathaway, America Express, Apple Inc., Ford motors, Cabot Oil Gas, Walmart, Disney, JP Morgan Chase, Unilever Nike and Wilshire 5000 which are listed on NYSE. Henceforth CAPM helps to...
Persistent link: https://www.econbiz.de/10012894507
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Corporate Asset Pricing
Brøgger, Andreas - 2022
I show the new fact that Idiosyncratic volatility significantly predicts the convenienceyield. This fact poses a puzzle with current safe asset theories. I develop a new theorythat reconciles this puzzle - a theory I label Corporate Asset Pricing (CAP). CAPexplains 29% of future convenience...
Persistent link: https://www.econbiz.de/10014236410
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Empirical Social Asset Pricing
Hwang, Byoung-Hyoun - 2022
I review the empirical literature on word of mouth (WOM) among investors. I begin with an outline of the empirical challenges that WOM research faces and possible strategies to overcome those challenges. I then discuss recent studies on WOM among retail and institutional investors. The research...
Persistent link: https://www.econbiz.de/10013406015
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Fundamental Anomalies
Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021
This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...
Persistent link: https://www.econbiz.de/10013245422
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Technical analysis accuracy at Macedonian Stock Exchange
Ivanovski, Zoran; Ivanovska, Nadica; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 8 (2017) 2, pp. 105-118
The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...
Persistent link: https://www.econbiz.de/10011780553
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
arbitrage opportunities that emerge endogenously in reaction to the portfolio imbalance generated by constrained agents. The … agents, arbitrage activity has an impact on the price level and generates both excess volatility and the leverage effect. We …
Persistent link: https://www.econbiz.de/10010257492
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Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation
Miyamoto, Kenji - 2018
can ignore the beta as a component of the equity cost. The arbitrage results in valuation differences in the end, such as … between the risk, cost and return for the equity valuation. In the fixed income investment, the excess risk is basically … actually the cost. This confusion has to dissipate with arbitrage at the market where the short selling is institutionalized or …
Persistent link: https://www.econbiz.de/10012907181
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Limits to Arbitrage, Investor Sentiment, and Factor Returns in International Government Bond Markets
Zaremba, Adam - 2019
the relationships between the performance of these strategies and market-wide measures of limits to arbitrage and investor … sentiment. We find that the defensive strategy performs best during tight arbitrage conditions whereas severe limits to … arbitrage negatively affect momentum profits …
Persistent link: https://www.econbiz.de/10012893037