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Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading

Lakonishok, Josef - 1991

evaluate the potential effect of their trading on stock prices. We address two aspects of trading by money managers: herding …, which refers to buying (selling) the same stocks as other managers buy (sell) at the same time; and positive … of substantial herding or positive-feedback trading by pension fund managers, except in small stocks. Also, there is no …

Persistent link: https://www.econbiz.de/10012475147

In Search of Systematic Risk and the Idiosyncratic Volatility Puzzle in the Corporate Bond Market

Bai, Jennie - 2019

We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond returns. We also find a positive but insignificant relation...

Persistent link: https://www.econbiz.de/10012479944

Earnings Quality and Stock Returns

Chan, Konan - 2010

An exclusive focus on bottom-line income misses important information about the quality of earnings. Accruals (the difference between accounting earnings and cash flow) are reliably, negatively associated with future stock returns. Earnings increases that are accompanied by high accruals,...

Persistent link: https://www.econbiz.de/10012763145

The Level and Persistence of Growth Rates

Chan, Louis K.C. - 2010

Expected long-term earnings growth rates are crucial inputs to valuation models and for cost of capital estimates. We analyze historical long-term growth rates across a broad cross-section of stocks using several operating performance indicators. We test whether growth persists, and whether it...

Persistent link: https://www.econbiz.de/10012763155

On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model

Chan, Louis K.C. - 2010

We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...

Persistent link: https://www.econbiz.de/10012763801

Maxing Out : Stocks as Lotteries and the Cross-Section of Expected Returns

Bali, Turan G. - 2009

Motivated by existing evidence of a preference among investors for assets with lottery-like payoffs and that many investors are poorly diversified, we investigate the significance of extreme positive returns in the cross-sectional pricing of stocks. Portfolio-level analyses and firm-level...

Persistent link: https://www.econbiz.de/10012764338

Left-Tail Momentum : Underreaction to Bad News, Costly Arbitrage and Equity Returns

Atilgan, Yigit - 2020

This paper documents a significantly negative cross-sectional relation between left-tail risk and future returns on individual stocks trading in the U.S. and international countries. We provide a behavioral explanation to this anomaly based on the idea that investors underestimate the...

Persistent link: https://www.econbiz.de/10012853459

Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices

Bali, Turan G. - 2020

We introduce a new approach to predicting market returns using the cross-section of earnings and book values to explain current stock prices and extract aggregate expected returns. The proposed measure is countercyclical; it portends a significant fraction of the time-series variation in stock...

Persistent link: https://www.econbiz.de/10012853998

Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?

Bali, Turan G. - 2020

We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...

Persistent link: https://www.econbiz.de/10012856755

Private Subsidiaries’ Information Disclosure and the Cross-Sectional Equity Returns of Public Parent Firms

Bali, Turan G. - 2020

We investigate the impact of potential information hiding or disclosure delay originated from private subsidiaries on the future returns of their public parent firms. We find a significantly positive link between private subsidiaries' information disclosure (PSID) and the cross-section of future...

Persistent link: https://www.econbiz.de/10012846906