نتایج جستجو برای: نقطه مرجعطبقهبندی موضوعی g14 g12
تعداد نتایج: 30989 فیلتر نتایج به سال:
Using a new data set on investor sentiment, we show that institutional and individual sentiment seem to proxy for smart money and noise trader risk, respectively. First, using bias-adjusted long-horizon regressions, we show that institutional sentiment forecasts stock market returns at intermediate horizons correctly, whereas individuals consistently get the direction wrong. Second, even the si...
The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private off-market investments. A quantitative model with these assumptions delivers a...
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...
ABSTRACT This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear dependence suggesting that the Indian stock market switched between periods of efficiency and in...
Industries are economically linked through customer-supplier trade flows. We show theoretically and empirically that industry shocks propagating along this inter-sectoral trade network can feed back to the originating industry, causing an “echo” – intermediate-term autocorrelation in returns. Adopting techniques from graph theory, we find that the strength of the trade network feedback is a cru...
This study documents a subtle and counter-intuitive interaction between operating cash flow (CFO) and accruals, and their association with future stock returns. While the two strategies should by construction capture similar anomalies, we find evidence in two large stock markets that they appear distinct, and that returns to these strategies are strongly negatively correlated. We show that the ...
While much accounting information is idiosyncratic in nature, economy-wide factors such as accounting standards affect the quality of idiosyncratic accounting information of many firms simultaneously. We study these two features of accounting information by embedding a parsimonious, moral hazard problem into the framework of a multi-firm economy in which project choices are endogenous to accoun...
We study price efficiency and trading behavior in laboratory limit order markets with asymmetrically informed traders. Markets differ in the number of insiders present and in the subset of traders who receive information about the number of insiders present. We observe that price efficiency (i) is the higher the higher the number of insiders in the market but (ii) is unaffected by changes in th...
This paper presents results from an experimental computer simulated stock market. In this market artificial intelligence algorithms take on the role of traders. They make predictions about the future, and buy and sell stock as indicated by their expectations of future risk and return. Prices are set endogenously to clear the market. Time series from this market are analyzed from the standpoint ...
The objective of this paper is to examine the performance of specific technical rules in the Athens Stock Exchange (ASE). In particular, we further investigate and provide modifications for Brock, Lakonishok, and LeBaron (1992) methodology, finding various forms of technical analysis that contain significant forecast power for ASE returns. Furthermore, we test one of the most popular trading ru...
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