We present strong evidence that high differences of opinion stocks earn lower returns around earnings announcements. The evidence is similar across six different proxies for differences of opinion (earnings volatility, return volatility, dispersion of analysts’ earnings forecasts, number of analysts, firm age, and share turnover). The three-day hedge returns (returns on low minus high differenc...

We study the 52-week high momentum strategy in international stock markets proposed by George and Hwang [George, T., Hwang, C.Y., 2004. The 52-week high and momentum investing. Journal of Finance 59, 2145–2176.]. This strategy produces profits in 18 of the 20 markets studied, and the profits are significant in 10 markets. The 52-week high momentum profits exist independently from the Jegadeesh ...

Using a set of cointegration and error correction models with Threshold Autoregressive (TAR) or Momentum Threshold Autoregressive (MTAR) asymmetric adjustment, we investigate whether the effects of fiscal policy (i.e. expansionary or contractionary government spending shocks) on interest rates in Japan are asymmetric or not. Forty years of quarterly series on price of oil, Consumer Price Index ...

This paper investigates the U.S. housing price dynamics from the perspective of speculative trading, in addition to the macro-finance factors such as the stock market, household disposable income and nominal interest rate. It is found that among the speculative investors, fundamental traders drive house price away from the fundamental value. Their trading is weakened in the regime of high nomin...

Consumption-based asset pricing models with time-separable preferences can generate realistic amounts of stock price volatility if one allows for small deviations from rational expectations. We consider rational investors who entertain subjective prior beliefs about price behavior that are not equal but close to rational expectations. Optimal behavior then dictates that investors learn about pr...

This paper examines the competitiveness of winner-take-all price competition in homogeneous product oligopoly environments where underlying buyer demands and/or firms’ costs need not be continuous. Our analysis is motivated by the observation that a variety of economic settings have these features. For example, in 1996 an Ivy League university solicited bids from several vendors for its initiat...

According to static models of industrial organization, a rise in competition decreases prices. In this paper, I test whether this conclusion can be reversed in the mobile telecommunications markets where dynamic e ciency e ects might be signi cant. The empirical test relies on the change in the intensity of competition introduced by the entry of the fourth mobile operator in France and the merg...

In this paper we prove a recent conjecture [Robnik M and Salasnich L 1997 J. Phys. A: Math. Gen. 3

We find that three factors—cryptocurrency market, size, and momentum—capture the cross-sectional expected cryptocurrency returns. consider a comprehensive list of price- market-related return predictors in stock market construct their counterparts. Ten characteristics form successful long-short strategies generate sizable statistically significant excess returns, we show all these are accounted...