-
作者：Gervais, S; Kaniel, R; Mingelgrin, DH
作者单位：University of Pennsylvania; University of Texas System; University of Texas Austin; University of Pennsylvania
摘要：The idea that extreme trading activity contains information about the future evolution of stock prices is investigated. We find that stocks experiencing unusually high (low) trading volume over a day or a week tend to appreciate (depreciate) over the course of the following month. We argue that this high-volume return premium is consistent with the idea that shocks in the trading activity of a stock affect its visibility, and in turn the subsequent demand and price for that stock. Return autoc...
-
作者：Barber, B; Lehavy, R; McNichols, M; Trueman, B
作者单位：University of California System; University of California Davis; University of California System; University of California Berkeley; Stanford University
摘要：We document that purchasing (selling short) stocks with the most (least) favorable consensus recommendations, in conjunction with daily portfolio rebalancing and a timely response to recommendation changes, yield annual abnormal gross returns greater than four percent. Less frequent portfolio rebalancing or a delay in reacting to recommendation changes diminishes these returns; however, they remain significant for the least favorably rated stocks. We also show that high trading levels are requ...
-
作者：Lim, T
作者单位：Dartmouth College
摘要：This paper proposes and tests a quadratic-loss utility function for modeling corporate earnings forecasting, where financial analysts trade off bias to improve management access and forecast accuracy. Optimal forecasts with minimum expected error are optimistically biased and exhibit predictable cross-sectional variation related to analyst and company characteristics. Empirical evidence from individual analyst forecasts is consistent with the model's predictions. These results suggest that pos...
-
作者：De Roon, FA; Nijman, TE; Werker, BJM
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Tilburg University
摘要：We propose regression-based tests for mean-variance spanning in the case where investors face market frictions such as short sales constraints and transaction costs. We test whether U.S. investors can extend their efficient set by investing in emerging markets when accounting for such frictions. For the period after the major liberalizations in the emerging markets, we find strong evidence for diversification benefits when market frictions are excluded, but this evidence disappears when invest...
-
作者：Campbell, JY; Lettau, M; Malkiel, BG; Xu, YX
作者单位：Harvard University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - New York; Princeton University; University of Texas System; University of Texas Dallas
摘要：This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels. Over the period from 1962 to 1997 there has been a noticeable increase in firm-level volatility relative to market volatility. Accordingly, correlations among individual stocks and the explanatory power of the market model for a typical stock have declined, whereas the number of stocks needed to achieve a given level of diversification has increased. All the volatility me...
-
作者：Nissim, D; Ziv, A
作者单位：Columbia University
摘要：We investigate the relation between dividend changes and future profitability, measured in terms of either future earnings or future abnormal earnings. Supporting the information content of dividends hypothesis, we find that dividend changes provide information about the level of profitability in subsequent years, incremental to market and accounting data. We also document that dividend changes are positively related to earnings changes in each of the two years after the dividend change.
-
作者：Backus, DK; Foresi, S; Telmer, CI
作者单位：New York University; National Bureau of Economic Research; Carnegie Mellon University
摘要：One of the most puzzling features of currency prices is the forward premium anomaly: the tendency for high interest rate currencies to appreciate. We characterize the anomaly in the context of affine models of the term structure of interest rates. In affine models, the anomaly requires either that state variables have asymmetric effects on state prices in different currencies or that nominal interest rates take on negative values with positive probability. We find the quantitative properties o...
-
作者：Dichev, LD; Piotroski, JD
作者单位：University of Michigan System; University of Michigan; University of Chicago
摘要：Using essentially all Moody's bond ratings changes between 1970 and 1997, we find no reliable abnormal returns following upgrades. However, we find negative abnormal returns on the magnitude of 10 to 14 percent in the first year following downgrades. Additional results reveal that this underperformance is especially pronounced for small, low-credit-quality firms. Also, downgrades underperform in nearly all years in the sample, and a large part of the abnormal returns occur at subsequent earnin...
-
作者：Lettau, M; Ludvigson, S
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York
摘要：This paper studies the role of fluctuations in the aggregate consumption-wealth ratio for predicting stock returns. Using U.S, quarterly stock market data, we find that these fluctuations in the consumption-wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other po...
-
作者：Claus, J; Thomas, J
作者单位：Columbia University
摘要：The returns earned by U.S. equities since 1926 exceed estimates derived from theory, from other periods and markets, and from surveys of institutional investors. Rather than examine historic experience, we estimate the equity premium from the discount rate that equates market valuations with prevailing expectations of future flows. The accounting flows we project are isomorphic to projected dividends but use more available information and narrow the range of reasonable growth rates. For each y...
