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The stock market valuation of research and development expenditures
Chan, Louis K. C.; Lakonishok, Josef; Sougiannis, Theodore - 1999
Persistent link: https://www.econbiz.de/10001399757
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The Stock Market Valuation of Research and Development Expenditures
Chan, Louis K.C. - 1999
We examine whether stock prices fully reflect the value of firms' intangible assets, focusing on research and development (R&D). Since intangible assets are not reported on financial statements under current U.S. accounting standards and R&D spending is expensed, the valuation problem may be...
Persistent link: https://www.econbiz.de/10012471566
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 1999
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/10012471761
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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
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The Stock Market Valuation of Research and Development Expenditures
Chan, Louis K.C; Lakonishok, Josef; Sougiannis, Theodore - 2021
We examine whether stock prices fully reflect the value of firms' intangible assets, focusing on research and development (R&D). Since intangible assets are not reported on financial statements under current U.S. accounting standards and R&D spending is expensed, the valuation problem may be...
Persistent link: https://www.econbiz.de/10013211643
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Momentum Strategies
Chan, Louis K. C. - 1995
We relate the predictability of future returns from past returns to the market's underreaction to information, focusing on past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. There is little evidence of...
Persistent link: https://www.econbiz.de/10012473492
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Good News for Value Stocks : Further Evidence on Market Efficiency
Porta, Rafael La - 1995
This paper examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. We study stock price reactions around earnings announcements for value and glamour stocks over a 5 year period after portfolio formation. The...
Persistent link: https://www.econbiz.de/10012473559
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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