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Value Bubbles
Chibane, Messaoud - 2019
According to several extended behavioral theories, value profits should mirror momentum profits, and vary over time. We test these theories in the cross section of returns. Value returns depend on market states. From 1926 to 2018, following negative market return, the average so-called value...
Persistent link: https://www.econbiz.de/10012867491
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Consumption-Based Equity Valuation
Bach, Christian - 2016
Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ over a thirty-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather...
Persistent link: https://www.econbiz.de/10013003022
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Investing in Growth Stocks : Bimodal Payoff Distribution and Expected Stock Returns
Zhang, Jasmine; Zhang, Xiao-Jun - 2022
This paper documents that the payoffs from investing in growth stocks, as measured by the decile-rank distributions (DRD) of future revenues, earnings, investment, as well as stock returns, follow a bimodal U-shaped distribution. By contrast, the DRD of value stocks follow a traditional...
Persistent link: https://www.econbiz.de/10014238639
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Mental models of the stock market
Andre, Peter; Schirmer, Philipp; Wohlfart, Johannes - 2023
Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...
Persistent link: https://www.econbiz.de/10014383579
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Mental models of the stock market
Andre, Peter; Schirmer, Philipp; Wohlfart, Johannes - 2023
Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...
Persistent link: https://www.econbiz.de/10014416010
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Information characteristics and errors in expectations : experimental evidence
Antoniou, Constantinos; Harrison, Glenn W.; Igel Lau, Morten - 2015
We design an experiment to test the hypothesis that, in violation of Bayes Rule, some people respond more forcefully to the strength of information than to its weight. We provide incentives to motivate effort, use naturally occurring information, and control for risk attitude. We find that the...
Persistent link: https://www.econbiz.de/10011347344
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Are behavioral biases stable across markets and prevalent across individuals? : evidence from individual betting choices
Andrikogiannopoulou, Angie; Papakonstantinou, Filippos - 2014
We use novel data on individual activity in a sports betting market to study the effect of past performance sequences on individual behavior in a real market. The revelation of fundamental values in this market enables us to disentangle whether behavior is caused by sentiment or by superior...
Persistent link: https://www.econbiz.de/10010338735
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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Price dynamics and trader overconfidence
Ahrens, Steffen; Bosch-Rosa, Ciril; Roulund, Rasmus Pank - 2019
Overconfidence is one of the most important biases in financial markets and commonly associated with excessive trading … and asset market bubbles. So far, most of the finance literature takes overconfidence as a given, "static" personality … trait. In this paper we introduce a novel experimental design which allows us to track different measures of overconfidence …
Persistent link: https://www.econbiz.de/10012034133
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Investigating the Impact of Valuing Intangible Assets on Valuation Multiples
Fuad, Syed - 2017
Using the valuation methods proposed by, we value the internally generated intangible assets of the listed companies in DS30 index by capitalizing relevant portions of R&D, advertising and training expenses. After adjusting for the changes in book value and earnings, we show that companies...
Persistent link: https://www.econbiz.de/10012950086