منابع مشابه
Disagreement, Underreaction, and Stock Returns
We explore the analyst earnings forecasts data to study the interactive effect between disagreement and underreact to earnings news on asset prices. We find that (1) changes in the mean of forecasted earnings as an underreaction measure positively predict future returns, that (2) changes in the standard deviation of forecasted earnings as a disagreement measure negatively predict future returns...
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This study shows that analysts vary significantly in their responsiveness to earnings announcements, where responsiveness is defined as promptness of analysts’ first forecast revisions for the next quarter since the prior quarterly earnings announcements. Further evidence indicates that analysts’ responsiveness improves the efficiency of their expectations of future earnings immediately after t...
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In the past two decades several studies show and explain the occurrence of financial phenomena that are contrary to the Efficient Markets Hypothesis (EMH) of Fama (1970). Among them, the phenomena of “overreaction” and “underreaction”, inspired by cognitive psychology studies, are one of the most important challenges to market efficiency, and helped to build the foundations of Behavioral Financ...
متن کاملInvestor Inattention and the Underreaction to Stock Recommendations
Investors’ reaction to stock recommendations is often incomplete so that there is a predictable post-recommendation drift. I investigate whether investor inattention contributes to this drift by using turnover as a proxy for investor attention. I find that the recommendation drift of firms with low prior turnover is more than double in magnitude compared to that of firms with high prior turnove...
متن کاملInvestors’ Misreaction to Unexpected Earnings: Evidence of Simultaneous Overreaction and Underreaction∗
Behavioral Finance aims to explain empirical anomalies by introducing investor psychology as a determinant of asset pricing. Two kinds of anomalies, namely underreaction and overreaction, have been established by an impressive record of empirical work. While underreaction defines a slow adjustment of prices to corporate events or announcements, overreaction deals with extreme stock price reacti...
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ژورنال
عنوان ژورنال: The Journal of Business
سال: 2006
ISSN: 0021-9398,1537-5374
DOI: 10.1086/497406