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How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the OJ Market

Boudoukh, Jacob - 2003

fundamentals, focusing primarily on temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures …-thirds of the entire winter return variability occurs on these days. Moreover, when theory suggests no such relation, i.e., at … is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …

Persistent link: https://www.econbiz.de/10012469188

Equity market liberalizations as country IPOs

Martell, Rodolfo - 2003

Equity market liberalizations are like IPOs, but they are IPOs of a country's stock market rather than of individual firms. Both are endogenous events whose benefits are limited by poor investor protection, agency costs, and information asymmetries. As for stock prices following an IPO, there...

Persistent link: https://www.econbiz.de/10012469222

Private Information and Sunspots in Sequential Asset Markets

Benhabib, Jess - 2014

We study a model where some agents have private information about risky asset returns and trade to obtain capital gains, while others acquire the risky asset and hold it to maturity, forming expectations of returns based on market prices. We show that under such a structure, in addition to fully...

Persistent link: https://www.econbiz.de/10012458620

Does Firm-specific Information in Stock Prices Guide Capital Allocation?

Durnev, Artyom - 2001

We show that firms in industries in which firm-specific stock price variation is larger use more external financing and allocate capital with greater precision in the sense that their marginal q ratios are closer to one. According to the Efficient Markets Hypothesis, greater firm-specific stock...

Persistent link: https://www.econbiz.de/10012470636

Volatility Tests and Efficient Markets : A Review Essay

Cochrane, John H. - 1991

This essay examines what volatility tests tell us about the data and what implications we should derive from them. It argues that volatility tests do not tell us that "prices are too volatile", implying that "markets are inefficient", but rather that "(discounted) returns are forecastable",...

Persistent link: https://www.econbiz.de/10012475429

Fads, Martingales, and Market Efficiency

Lehmann, Bruce N. - 1988

Much of the theoretical basis for current monetary and financial theory rests on the economic efficiency of financial …

Persistent link: https://www.econbiz.de/10012476533

Risk, Unemployment, and the Stock Market : A Rare-Event-Based Explanation of Labor Market Volatility

Kilic, Mete - 2015

What is the driving force behind the cyclical behavior of unemployment and vacancies? What is the relation between job-creation incentives of firms and stock market valuations? We answer these questions in a model with time-varying risk, modeled as a small and variable probability of an economic...

Persistent link: https://www.econbiz.de/10012457094

Days to Cover and Stock Returns

Hong, Harrison - 2015

The short ratio - shares shorted to shares outstanding - is an oft-used measure of arbitrageurs' opinion about a stock's over-valuation. We show that days-to-cover (DTC), which divides a stock's short ratio by its average daily share turnover, is a more theoretically well-motivated measure...

Persistent link: https://www.econbiz.de/10012457501

Predictable Price Pressure

Hartzmark, Samuel M.; Solomon, David H. - National Bureau of Economic Research - 2022

We demonstrate that predictable uninformed cash flows forecast market and individual stock returns. Buying pressure from dividend payments (announced weeks prior) predicts higher value-weighted market returns, with returns for the top quintile of payment days four times higher than the lowest....

Persistent link: https://www.econbiz.de/10013462736