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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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International stock return predictability : on the role of the United States in bad and good times
Siliverstovs, Boriss - 2016
In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...
Persistent link: https://www.econbiz.de/10011519115
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How Market Sentiment Drives Forecasts of Stock Returns
Frydman, Roman - 2020
We reveal a novel channel through which market participants' sentiment influences how they forecast stock returns: their optimism (pessimism) affects the weights they assign to fundamentals. Our analysis yields four main findings. First, if good (bad) “news” about dividends and interest...
Persistent link: https://www.econbiz.de/10012834037
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Salient or Safe : Why Do Predicted Stock Issuers Earn Low Returns?
Lee, Charles M.C. - 2019
Predicted stock issuers (PSIs) are firms with expected “high-investment and low-profit” (HILP) profiles that earn unusually low returns. We carefully document important features of PSI firms to provide insights on the economic mechanism behind the HILP phenomenon. Top-PSI firms are...
Persistent link: https://www.econbiz.de/10012902654
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Return prediction or investor manipulation? Recommendations of non-professional analysts and stock price movement
Breuer, Wolfgang; Knetsch, Andreas; Sachsenhausen, Eric - 2022
We examine article, author and firm characteristics of investment articles published by non-professional analysts on the social media investment platform Seeking Alpha from 2006 to 2020 leading to visible market value changes. We show that there are differences between articles followed by stock...
Persistent link: https://www.econbiz.de/10013290160
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The impact of investor sentiment on direction of stock price changes : evidence from the Polish stock market
Polak, Kamil - In: Journal of banking and financial economics 2 (2021) 16, pp. 72-90
The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...
Persistent link: https://www.econbiz.de/10012887921
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Media-Expressed Tone, Option Characteristics, and Stock Return Predictability
Chen, Cathy Yi‐Hsuan - 2020
We distill tone from a huge assortment of NASDAQ articles to examine the predictive power of media-expressed tone in single-stock option markets and equity markets. We find that (1) option markets are impacted by media tone; (2) option variables predict stock returns along with tone; (3) option...
Persistent link: https://www.econbiz.de/10012827650
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Bidder Earnings Forecasts in Mergers and Acquisitions
Amel-Zadeh, Amir - 2019
This study finds that pro-forma earnings forecasts by bidding firms during acquisitions are associated with a higher likelihood of deal completion, expedited deal closing, and with a lower acquisition premium − but only in stock-financed acquisitions. Analysts also respond to these forecasts...
Persistent link: https://www.econbiz.de/10012905443
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Abnormal Returns from Takeover Prediction Modelling : Challenges and Suggested Investment Strategies
Danbolt, Jo - 2020
While takeover targets earn significant abnormal returns, studies tend to find no abnormal returns from investing in … predicted takeover targets. In this study, we show that the difficulty of correctly identifying targets ex ante does not fully …
Persistent link: https://www.econbiz.de/10012855744
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The Information Content of Target Price Forecasts : Evidence from Mergers and Acquisitions
Ho, Tuan Quoc; Brownen‐Trinh, Ruby; Xu, Fangming - 2021
more likely to become a takeover target and offer premium and acquirers’ announcement returns are positively associated …’ takeover likelihood generates economically significant returns. Our results are robust to a battery of additional analysis, and … useful for participants in the corporate takeover markets …
Persistent link: https://www.econbiz.de/10013237497