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Chapter 23 : Behavioral Portfolio Theory and Investment Management
Rengifo, Erick W. - 2014
This chapter focuses on the attitude of investors toward financial gains and losses and their decisions on wealth allocation, and how these changes are subject to behavioral factors. The focal point is the integration of behavioral elements into the classic portfolio optimization. Individual...
Persistent link: https://www.econbiz.de/10013053271
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The Profitability Premium : Macroeconomic Risks or Expectation Errors?
Lam, FY Eric - 2020
Macroeconomic risks only partially capture the profitability premium, while adding a misvaluation factor based on … investor sentiment helps explain a substantial amount of it. The profitability premium mainly exists in firms whose market … valuations are inconsistent with their profitability and therefore subject to ex-ante expectation errors during high sentiment …
Persistent link: https://www.econbiz.de/10012855740
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The Profitability Premium : Macroeconomic Risks or Expectation Errors?
Lam, FY Eric - 2020
Macroeconomic risks only partially capture the profitability premium, while adding a misvaluation factor based on … investor sentiment helps explain a substantial amount of it. The profitability premium mainly exists in firms whose market … valuations are inconsistent with their profitability and therefore subject to ex-ante expectation errors during high sentiment …
Persistent link: https://www.econbiz.de/10012856586
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The real side of the high-volume return premium
Israeli, Doron; Kaniel, Ron; Sridharan, Suhas A. - 2017
Prior literature demonstrates that an increased trading activity of a fi rm's stock is associated with abnormal future stock returns (the high-volume return premium) and interprets this phenomenon as evidence that increased visibility generates reductions in cost of capital. Motivated by this...
Persistent link: https://www.econbiz.de/10011800651
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Expected stock returns worldwide : a log-linear present-value approach
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charley C. Y. - 2018
We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...
Persistent link: https://www.econbiz.de/10011931329
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Levels of Total Book Assets and Future Stock Returns : Risk or Mispricing?
Wakil, Gulraze - 2020
This paper investigates whether increases in future stock returns related to levels of total book assets (TBA) are due to risk or stock mispricing. Based on a large sample from 1989 to 2013, the findings at the portfolio-level reveal that average annual abnormal returns increase by 11.2 percent...
Persistent link: https://www.econbiz.de/10012853076
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Off-Balance-Sheet Assets, Financial Leverage, and Expected Stock Returns
Zhang, Jasmine - 2020
This paper examines the cross-sectional relation between leverage and future stock returns. Prior research documents a puzzling negative correlation. We show that it is largely caused by firms' use of internal financing when having significant off-balance-sheet operating assets due to...
Persistent link: https://www.econbiz.de/10012853184
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Implied Cost of Capital versus Fundamental Valuation Efficiency : A Clarification and Empirical Implications
Fang, Jing - 2019
As the proxy for expected return, the implied cost of capital (ICC) is subject to a mispricing-driven measurement error. For undervalued stocks, the mispricing-driven measurement error is positive and increases with the degree of undervaluation while for overvalued stocks, the mispricing-driven...
Persistent link: https://www.econbiz.de/10012859834
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Earnings Quality and Book-to-Market in the Cross Section of Expected Returns
Athanasakou, Vasiliki E. - 2019
The purpose of this paper is to examine whether earnings quality contributes to the book-to- market's predictive power in the cross section of stock returns. Earnings quality is embedded in the value-growth effect given that retained earnings is a key part of the book value of equity. Earnings...
Persistent link: https://www.econbiz.de/10012861412
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Speculative Stock Price and Inadequacy of the Implied Cost of Capital as a Proxy for Expected Return
Fong, Robert - 2020
The implied cost of capital (ICC), the internal rate of return that equates speculative stock price to discounted expected future dividends, includes a mispricing-driven component in addition to expected return. The estimated relation of a mispricing-associated factor (X) with ICC is thus a...
Persistent link: https://www.econbiz.de/10012839261