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Are Unsolicited Ratings Biased? Evidence from Long-Run Stock Performance
Byoun, Soku - 2014
public information. Overall, we find no evidence for a downward bias in unsolicited ratings …
Persistent link: https://www.econbiz.de/10013057451
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Social Trust and Institutional Investment Biases
Drobetz, Wolfgang - 2020
are high. Consistent with these findings, we further document that trust also affects the foreign bias in institutional …
Persistent link: https://www.econbiz.de/10012828303
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Does Information Acquisition Alleviate Market Anomalies? Categorization Bias in Stock Splits
Kong, Dongmin - 2019
) individuals can learn the firm fundamentals through information acquisition, which effectively alleviates their categorized bias … role of information acquisition in alleviating behavioral bias and improving decision-making …
Persistent link: https://www.econbiz.de/10012901944
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Stock Price Synchronicity, Cognitive Biases, and Momentum
Chen, Chen; Doukas, John A. - 2021
The momentum anomaly is widely attributed to investor cognitive biases, but the trigger of cognitive biases is largely unexplored. In this study, inspired by psychology studies linking cognitive biases to the noisiness of information, we examine whether momentum returns are associated with high...
Persistent link: https://www.econbiz.de/10013251937
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(Priced) frictions
Hou, Kewei; Kim, Sehoon; Werner, Ingrid M. - 2016 - This Draft: November 2016
We propose a parsimonious measure based solely on daily stock returns to characterize the severity of microstructure frictions at the individual stock level and assess the impact of frictions on the cross section of stock returns. Stocks with the largest frictions command a value-weighted return...
Persistent link: https://www.econbiz.de/10011962179
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Analysts' disagreement, self-selection, and stock returns
Wu, Liang; Long, Yunshen; Li, Wenyue; Wu, Bingyan - In: Journal of business economics and management 24 (2023) 1, pp. 37-53
before the actual earnings announcement. The second one is the optimistic bias channel. The optimistic bias channel means … that the stock is overpriced if the investors do not correct the analysts' bias. The self-selection is negatively … correlated with the stock return through the optimistic bias channel as more self-selection means more optimistic bias as low …
Persistent link: https://www.econbiz.de/10014330637
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Noise Traders and Cultural Factors : The Japanese Rokuyo Effect Evidence Implications For Investor Sentiment Induced Return Anomalies
Maberly, Edwin D. - 2012
This paper examines unique cultural features associated with the Japanese calendar known as rokuyo, which classifies days into six categories of varying levels of favorable/unfavorable sentiment days. Prior to the internationalization of Japanese financial markets in the early 1980s, rokuyo has...
Persistent link: https://www.econbiz.de/10013106244
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Stock Return Synchronicity and Technical Trading Rules
Kee, Koon Boon - 2014
Persistent link: https://www.econbiz.de/10013069529
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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
Brannas, Kurt - 2009
The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the Baltic state stock exchanges and that of Moscow we find...
Persistent link: https://www.econbiz.de/10013155485
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Does Price Limit Hit's Patterns Follow Stock Return Patterns?
Nobanee, Haitham - 2017
The purpose of this study is to examine patterns of price limit hits for stocks listed on the Tokyo Stock Exchange. Explanations are provided for the empirical findings and the extent to which the price limit hit patterns are related to existing stock returns patterns. We argue that if patterns...
Persistent link: https://www.econbiz.de/10012955990