This study presents direct evidence on the question whether investors recognize the widely documented biases in securities analysts' earnings forecasts. The internal rate of return implied by current stock price and consensus earnings forecasts is found to be correlated with indicators of bias...

We uncover a negative correlation between macroeconomic uncertainty and security analyst earning forecasts dispersion, and explain it through herding behavior bias of the analysts. We find that the herding firms, whose analysts suffer the herding bias, have greater firm-level uncertainty than...

We find that investors' future trading decisions are driven by the patterns of their social neighborhood and the trading activity therein. Moreover, we provide evidence that investors weigh their social connections differently in terms of information transfer. Methodologically, we tackle the...

Hedge fund managers are largely free to pursue dynamic trading strategies and standard linear regression is no longer accurate for measuring hedge fund abnormal return (alpha) and risk exposure (beta). Accordingly, this paper presents a dynamic linear model to capture hedge fund dynamics. By...

Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...

This paper investigates the impact of individual bank fundamental variables on stock market returns using data from a panel of 235 European banks from 1991 to 2005. The sample period marks a significant transition in the European banking sector, characterized by higher competition, lower profit...