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Value Irrelevance of the Reported Earnings Numbers and Informativeness of the Asset Price under the Conservative Accounting : Implications on Mark to Market Accounting

Luo, Guo Ying - 2019

formulating their trading strategies without paying attention to the accounting procedures used to generate those numbers. This … paper shows analytically that under the conservative accounting, the reported accounting earnings numbers are value … volatility of the economic earnings of the asset. These results support the alternative accounting of mark to market …

Persistent link: https://www.econbiz.de/10012861762

The Interaction of Skewness and Analysts' Forecast Dispersion in Asset Pricing

Goulding, Christian L. - 2017

I develop a new asset pricing theory that bridges two seemingly unrelated pricing effects from separate literatures: (1) the negative relationship between ex-ante return skewness and expected returns and (2) the negative relationship between dispersion in financial analysts' earnings forecasts...

Persistent link: https://www.econbiz.de/10012966370

Does Stock Return's Idiosyncratic Volatility Still Predict Corporate Bond Returns?

Mazumder, Sharif - 2018

In contrast to earlier decades, since the early 2000s, the average idiosyncratic volatility of stocks has fallen back to its pre-1990s level. Here, we examine whether decreasing volatility still helps to explain the cross-sectional variation of bond returns. Using a panel data of corporate bond...

Persistent link: https://www.econbiz.de/10012921040

Equilibrium Information Acquisition, Prediction Abilities and Asset Prices

Guo, Wen‐Chung - 2011

The purpose of this study is to explore a model in which asset prices are endogenously determined by information acquisition when investors have different prediction abilities. The authors discuss how equilibrium price and investor's demand for information are affected by investors' risk...

Persistent link: https://www.econbiz.de/10013132449

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Karoui, Mehdi - 2012

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose...

Persistent link: https://www.econbiz.de/10013113977

The Cross-Section of Expected Stock Returns : Learning about Distress and Predictability in Heterogeneous Orchards

Buraschi, Andrea - 2010

We study an equilibrium asset pricing model with several Lucas (1978) trees subject to persistent distress events, where the agent has incomplete information about the state of an underlying common factor and learns from the events occurring to each tree. Contrary to similar asset pricing models...

Persistent link: https://www.econbiz.de/10013146624

Equity Return Predictability, Time Varying Volatility and Learning About the Permanence of Shocks

Tortorice, Daniel L. - 2014

I consider a consumption based asset pricing model where the consumer does not know if shocks to dividends are stationary (temporary) or non-stationary (permanent). The agent uses a Bayesian learning algorithm with a bias towards recent observations to assign probability to each process. While...

Persistent link: https://www.econbiz.de/10013054127

Investor Sentiment and Asset Pricing : On the Event Study and Dummy Variable to Forecast the Market Return

Olorungbohunmi, Lawrence - 2019

This paper provides insight view of an investor mind dueling on proving the fact that a series of event in a company could cause a dramatic move on to practitioners who wish to forecast market returns based on event occurrences.Using 12 years (2006 to 2018) historical data of Foxconn Company...

Persistent link: https://www.econbiz.de/10012893996

Fama French Factors and US Stock Return Predictability

Panopoulou, Ekaterini - 2011

This paper investigates whether the HML, the SMB along with the short-term reversal, the long-term reversal and the momentum factors exhibit both in-sample and out-of-sample forecasting ability for the US stock returns. Our findings suggest that these factors contain significantly more...

Persistent link: https://www.econbiz.de/10013127477

Feasible momentum strategies in the US stock market

Ammann, Manuel; Moellenbeck, Marcel; Schmid, Markus M. - 2010

While there is a large literature documenting the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most importantly, high turnover and costs to hold short positions, especially in small-cap stocks, result in high transaction costs. We restrict our...

Persistent link: https://www.econbiz.de/10009306612