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The authors synthesized and extended recent research demonstrating that investor recognition is a distinct, significant determinant of stock price movements. Realized stock returns are strongly positively related to changes in investor recognition, and expected returns are strongly negatively...
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We outline a systematic approach to incorporate macroeconomic information into firm level forecasting from the perspective of an equity investor. Using a global sample of 198,315 firm-years over the 1998-2010 time period, we find that combining firm level exposures to countries (via geographic...
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We synthesize and extend recent research demonstrating that investor recognition is a distinct and significant determinant of stock price movements. Realized stock returns are strongly positively related to changes in investor recognition and expected returns are strongly negatively related to...
Persistent link: https://www.econbiz.de/10013068584
We examine whether fundamental measures of volatility are incremental to market based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns. Our fundamental measures of...
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