Psychological Barrier and Cross-Firm Return Predictability

We provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms and the nearness to the 52-week high can partially explain the underreaction to news about customers, geographic neighbors, industry peers, or foreign industries. We also find that analysts react to news about economically linked firms but the 52-week high effect reduces such reactions, providing direct evidence that the 52-week high affects the belief-updating process

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Year of publication:	2020
Authors:	Huang, Shiyang
Other Persons:	Lin, Tse-Chun (contributor) ; Xiang, Hong (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| Schätzung \| Estimation \| Kapitalmarktrendite \| Capital market returns \| Kapitaleinkommen \| Capital income \| Anlageverhalten \| Behavioural finance \| Spekulation \| Speculation

Extent:	1 Online-Ressource (76 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Financial Economics (JFE), Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 27, 2020 erstellt
Other identifiers:	10.2139/ssrn.3115934 [DOI]
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G24 - Investment Banking; Venture Capital; Brokerage ; g41
Source:	ECONIS - Online Catalogue of the ZBW

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