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The bias in two-pass regression tests of asset-pricing models in presence of idiosyncratic errors with cross-sectional dependence
Gramespacher, Thomas; Bänziger, Armin - In: Review of Pacific Basin financial markets and policies 22 (2019) 2, pp. 1950012-1-1950012-17
Persistent link: https://www.econbiz.de/10012139945
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Is the presidential premium spurious?
Sy, Oumar; Al Zaman, Ashraf - In: Journal of empirical finance 56 (2020), pp. 94-104
Persistent link: https://www.econbiz.de/10012430413
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Predicting the Australian equity risk premium
Jurdi, Doureige J. - In: Pacific-Basin finance journal 71 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10014513743
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Cognitive Biases, Downside Risk Shocks, and Stock Expected Returns
Li, Si; He, Fangyi; Shi, Fangquan - 2022
heuristic bias and conservatism bias. Previous studies found that the two cognitive biases cause investors to misreact to past …
Persistent link: https://www.econbiz.de/10014239591
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The informativeness of pro forma and street earnings : an examination of information asymmetry around earnings announcements
Huang, Qianyun; Skantz, Terrance R. - In: Review of accounting studies 21 (2016) 1, pp. 198-250
Persistent link: https://www.econbiz.de/10011448226
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Do record earnings affect market reactions to earnings news?
Jang, Juwon; Lee, Eunju - In: Review of quantitative finance and accounting 56 (2021) 4, pp. 1259-1287
Persistent link: https://www.econbiz.de/10012549786
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Labor Income Risk and Stock Returns : The Role of Horizon Effects
Eiling, Esther - 2019
consistent with wage stickiness, where wages are reset every two to four years …
Persistent link: https://www.econbiz.de/10012888966
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Earnings Notifications, Investor Attention, and the Earnings Announcement Premium
Chapman, Kimball - 2018
This paper provides new evidence that investor attention explains positive returns around earnings announcements and reconciles the attention explanation with information-based explanations in the literature. I use earnings notifications, which are attention-grabbing announcements of the...
Persistent link: https://www.econbiz.de/10012936478
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Earnings beta
Ellahie, Atif - In: Review of accounting studies 26 (2021) 1, pp. 81-122
Persistent link: https://www.econbiz.de/10012498384
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Earnings notifications, investor attention, and the earnings announcement premium
Chapman, Kimball - In: Journal of accounting & economics 66 (2018) 1, pp. 222-243
Persistent link: https://www.econbiz.de/10011904789