We estimate the risk and expected returns of private equity using market prices of publicly traded funds of funds holding unlisted private equity funds and publicly traded private equity funds participating directly in private equity transactions. Based on the performance of these two types of...

This article examines the contribution of stock price overreaction and delayed reaction to the profitability of contrarian strategies. The evidence indicates that stock prices overreact to firm-specific information, but react with a delay to common factors. Delayed reactions to common factors...

Portfolio strategies that buy stocks with high returns over the previous 3--12 months and sell stocks with low returns over this same time period perform well over the following 12 months. A recent article by Conrad and Kaul (1998) presents striking evidence suggesting that the momentum profits...

This article develops and implements a new test to investigate whether sell-side analysts herd around the consensus when they make stock recommendations. Our empirical results support the herding hypothesis. Stock price reactions following recommendation revisions are stronger when the new...

In this article we are concerned with the effect of the number of investment analysts following a firm on the speed of adjustment of the firm's stock price to new information that has common effects across firms. It is found that returns on portfolios of firms that are followed by many analysts...

This paper shows the importance of correcting for sample selection when investing in illiquid assets that trade endogenously. Using a sample of 32,928 paintings that sold repeatedly between 1960 and 2013, we find an asymmetric V-shaped relation between sale probabilities and returns. Adjusting...