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The Effect of Options on Information Acquisition and Asset Pricing

Huang, Shiyang - 2014

potentially unified theory to reconcile the conflicting empirical findings on the options listing of individual stocks in both the …

Persistent link: https://www.econbiz.de/10013046039

Ambiguity, Investor Disagreement, and Expected Stock Returns

Hsiao, Lawrence - 2021

I set up a model in which two types of ambiguity-averse traders disagree on how to interpret a public signal. When traders first observe contradicting interpretations of the signal, they don't know whether to attribute the clash of opinions to different information processing or to information...

Persistent link: https://www.econbiz.de/10013217512

Real Cash Flow Expectations and Asset Prices

De la O, Ricardo; Myers, Sean - 2021

, real cash flow expectations closely match aggregate bond and stock prices, leaving little room for time-varying discount …

Persistent link: https://www.econbiz.de/10013222433

Dynamic Asset (Mis)Pricing : Build-up vs. Resolution Anomalies

van Binsbergen, Jules H.; Boons, Martijn; Opp, Christian C. - 2021

We classify asset pricing anomalies into those that exacerbate mispricing (build-up anomalies) and those that resolve it (resolution anomalies). To this end, we estimate the dynamics of price wedges for a large number of well-known anomaly portfolios in the factor zoo and map them to firm-level...

Persistent link: https://www.econbiz.de/10013241479

Salience Theory and the Cross-Section of Stock Returns : International and Further Evidence

Cakici, Nusret; Zaremba, Adam - 2021

The salience theory perspective on asset prices implies that investors overvalue stocks with salient upsides and …

Persistent link: https://www.econbiz.de/10013248297

Testing the CAPM Under Asymmetric Information

Guéniche, Alain; Burlacu, Radu; Jimenez-Garcès, Sonia G. - 2022

portfolio is not a relevant benchmark for testing the CAPM. Each investor appraises expected returns and builds his optimal … benchmark to consider for the conditional CAPM(s)? Many CAPM empirical tests consider future realized returns as proxies for … correct benchmark for testing the CAPM from the perspective of this investor. Our empirical results provide a more optimistic …

Persistent link: https://www.econbiz.de/10013292834

Asset Price Reactions to News at the Zero Lower Bound

Zhou, John - 2015

This paper analyzes the reaction of interest rates and the stock market to macroeconomic news announcements (MNAs) at the zero lower bound (ZLB). I start by using a shadow rate term structure model to formulate three predictions for the sensitivity of interest rates to MNAs. First,...

Persistent link: https://www.econbiz.de/10013033476

Anxiety, Excitement, and Asset Prices

Bin Hasan, Shehub; Kumar, Alok; Taffler, Richard - 2021

This study examines the impact of integral emotions on portfolio decisions and asset prices. Using a new dictionary of anxiety- and excitement-related keywords, we measure the emotional state of the market and compute firm-level sensitivity to changes in market-level emotions (i.e., emotion...

Persistent link: https://www.econbiz.de/10013211396

Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns

Ogden, Joseph P. - 2010

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

Persistent link: https://www.econbiz.de/10013147129

Stability in the ISE : Betas for Stocks and Portfolios

Oran, Adil - 2010

In this paper we examine the characteristics and stability of individual stock and portfolio betas of stocks listed in the Istanbul Stock Exchange (ISE) using samples of 500 individual stocks and 500 portfolios of 10 stocks each. We begin with a methodology similar to the basic event study...

Persistent link: https://www.econbiz.de/10013147415