Narrow search
Showing 1 - 10 of 17,915
Cover Image
Stock Market Overreaction to Management Earnings Forecasts
Michel, Jean-Sebastien - 2014
I hypothesize that the stock market overreacts to management earnings forecasts because of the uncertainty surrounding them. I find that negative management forecast surprises lead to a –5.9% abnormal return around the forecast and a 1.9% correction in the 2-month period after earnings are...
Persistent link: https://www.econbiz.de/10013063187
Cover Image
Earnings Seasonality, Management Earnings Forecasts and Stock Returns
Jiang, Danling; Song, Pan; Zhu, Hongquan - 2023
Previous research finds that historical seasonal earnings rank negatively predicts stock returns surrounding earnings announcements (EAs) in China’s A-share markets. We examine whether management earnings forecasts (MEFs) help reduce the stock return seasonality associated with earnings...
Persistent link: https://www.econbiz.de/10014255146
Cover Image
Up and Down : Forecast Revisions, Forecast Dispersion and Momentum
Liao, Yun - 2017
This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the...
Persistent link: https://www.econbiz.de/10012955959
Cover Image
What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing
Haghani, Victor - 2019
You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...
Persistent link: https://www.econbiz.de/10012902324
Cover Image
Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination
Fang, Jing - 2019
the accounting valuation-based predictor, suggesting that the accounting valuation-based predictor carries information not …
Persistent link: https://www.econbiz.de/10014103309
Cover Image
Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
Chu, Liya; He, Xuezhong; Li, Kai; Tu, Jun - 2022
This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based non-fundamental) predictors and market returns. We find that although fundamental variables can...
Persistent link: https://www.econbiz.de/10013405087
Cover Image
The Information Content of Sudden Insider Silence
Hong, Claire Yurong - 2018
strategically choose to be silent when they possess private information not yet reflected in stock prices. Consistent with our … return predictability of insider silence is stronger among firms with poor information environment and facing higher …
Persistent link: https://www.econbiz.de/10012936679
Cover Image
Beliefs Aggregation and Return Predictability
Kyle, Albert S. - 2020
who agree to disagree about the precision of their private information. Although traders apply Bayes Law consistently …
Persistent link: https://www.econbiz.de/10012856118
Cover Image
Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …
Persistent link: https://www.econbiz.de/10012842392
Cover Image
Recurring Firm Events and Predictable Returns : The Within-Firm Time-Series
Hartzmark, Samuel M. - 2017
, and replicate internationally. It is difficult to explain the patterns with a unified risk theory. Some of the underlying …
Persistent link: https://www.econbiz.de/10012945701