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The existence of informationally efficient markets when individuals are rational
Muendler, Marc-Andreas - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing … average portfolio demand information in equilibrium if they can adjust portfolio size. More information diminishes the … endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria …
Persistent link: https://www.econbiz.de/10011451345
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Textual Analysis in Finance
Loughran, Tim - 2020
Textual analysis, implemented at scale, has become an important addition to the methodological toolbox of finance. In this paper, given the proliferation of papers now using this method, we first provide an updated review of the literature while focusing on a few broad topics—social media,...
Persistent link: https://www.econbiz.de/10012847299
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Property Portfolio Composition and Earnings Management for Listed Property Portfolios
Liang, Jian - 2014
In this paper, we investigate how real estate portfolio composition impacts earnings management (EM) of New Zealand listed property portfolios (NZ-LPPs). We employ a panel dataset containing accounting and property data for NZ-LPPs. The findings include: (1) the office property ratio of the real...
Persistent link: https://www.econbiz.de/10013044457
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Patterns in Recommendation Changes, Investor Perceptions, and the Structure of Analysts’ Research Portfolios
Kini, Omesh - 2010
We study whether analysts' recommendations and the market's reactions to recommendation changes are influenced by the structure of analysts' research portfolios. We find that analysts maintain more positive recommendations for stocks that belong to the “core industry” in their research...
Persistent link: https://www.econbiz.de/10013149279
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When and how is voluntary disclosure quality reflected in equity prices?
Eugster, Florian; Wagner, Alexander F. - 2011
, suggesting that, for them, todays equity prices do not incorporate all information and that for these firms value reporting …
Persistent link: https://www.econbiz.de/10009295768
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A New Value-to-Price Anomaly and the Idiosyncratic Risk
Hwang, Lee-Seok - 2011
This study documents the prominent role of idiosyncratic risk in impeding arbitrage activities with regard to a new value-to-price anomaly. Adopting the theoretical foundation and empirical specification of Hwang and Sohn's (2010) real-option-based valuation model, we measure the intrinsic value...
Persistent link: https://www.econbiz.de/10013134242
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Information Disclosure, Intertemporal Risk Sharing, and Asset Prices
Dang, Tri Vi - 2010
Disclosure of information triggers immediate price movements, but it mitigates price movements at a later date, when … the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors … a central bank chooses the quality and frequency of the disclosure of macroeconomic information, or to the precision of …
Persistent link: https://www.econbiz.de/10013138541
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Style Investing in Fixed Income
Brooks, Jordan - 2018
Style investing has become part of the investing nomenclature for equity markets. To date, despite the massive size of fixed income markets, little research has examined the efficacy of style-based investing in fixed income. In this paper we summarize a common style based framework for capturing...
Persistent link: https://www.econbiz.de/10012926513
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The Irrelevance of ESG Disclosure to Retail Investors : Evidence from Robinhood
Moss, Austin - 2020
Using an hourly dataset on retail investor security positions from Robinhood Markets, we find that ESG disclosures are irrelevant to retail investors' portfolio allocation decisions. The response to ESG press releases by retail investors is no different than the routine portfolio adjustments...
Persistent link: https://www.econbiz.de/10012833604
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Is (Systematic) Value Investing Dead?
Israel, Ronen - 2020
from a theoretical and empirical perspective, expectations of fundamental information have been and continue to be an …
Persistent link: https://www.econbiz.de/10012839544