This study tests the Miller (1977) hypothesis as an explanation for stock price behavior around technology firms’ earnings announcements during the late 1990s. Specifically, we examine whether the anomalous tendency for stock prices to increase (decrease) before (after) earnings announcements during this period is associated with an increase (decrease) in investor disagreement before (after) th...

This paper explores the effect of exclusionary ”ethical investing” on corporate behavior in a risk averse, equilibrium setting. While arguments exist that ethical investing can inßuence a Þrm’s cost of capital, and so affect investment, no equilibrium model has been presented to do so. We show that exclusionary ethical investing leads to ”polluting” Þrms being held by fewer investors since ”gre...

This paper provides both theoretical and empirical analyses of market participants’ optimal decision-making in trading Japanese equity mutual funds. First, we build an intertemporal decision-making model under uncertainty in the presence of transaction costs. This setting enables us to shed light on the investors’ option to delay investment. A comparative analysis shows that an increase in unce...

Cross-border financial asset accumulation has tripled over the past decade. While some of this increase represents a continuation or resumption of trends that have been evident for some time, recent years have witnessed several new developments, notably the broadening of the investor base eager to hold international assets. Certain classes of investors, such as private institutional investors f...

R research has shown that managers in publicly traded companies facing earnings pressure—the pressure to meet or beat securities analysts’ earnings forecasts—may make business decisions to improve short-term earnings. Analysts’ forward-looking performance forecasts can serve as powerful motivation for managers, but may also encourage them to undertake short-term actions detrimental to future co...

A recent common view of finance experts is that it is becoming increasingly difficult to understand how the economy as a whole works. Although the efficient market theory might be considered an ideal model enabling the interpretation of market behavior, it has begun to lose ground, and the rationality hypothesis failed to explain the excessive volatility of the returns and trading volume record...

it is very important for managers, investors and financial policy-makers to detect and analyze factors affecting financial markets to obtain optimal decision and reduce risks. the importance of market analysis and attempt to improve its behavior understanding, has led analysts to use the experiences of other professionals in the fields such as social sciences and mathematics to examine the inte...

Representative investors whose behavior is modeled by a deterministic finite automaton generate complexity both in the time series of each asset and in the cross-sectional correlation when the rule governing their behavior is schizophrenic, meaning the investor holds multiple seemingly contradictory beliefs simultaneously, either by switching between two different rules at each time step, or co...