Showing 1 - 10 of 80
This paper reexamines the explanatory power of beta, firm size, book-to-market equity, and the earnings-price ratio for average stock returns, correcting two currently controversial biases: selection bias in COMPUSTAT and the errors-in-variables (EIV) bias. After filling in the missing data on...
Persistent link: https://www.econbiz.de/10012790798
This paper reexamines the explanatory power of beta, firm size, book-to-market equity, and earnings-price ratio to average stock returns with correcting two currently controversial biases: the selection bias in COMPUSTAT and the errors-in-variables (EIV) problem. The selection bias is corrected...
Persistent link: https://www.econbiz.de/10012791121
Recent research has documented the failure of market beta to capture the cross-section of expected returns within the context of a two-pass estimation methodology. However, the two-pass methodology suffers from the errors-in-variables (EIV) problem that could attenuate the apparent significance...
Persistent link: https://www.econbiz.de/10012791560
This article compares econometric model specifications that have been proposed to explain the commonly observed characteristics of the unconditional distribution of daily stock returns. The empirical results indicate that the most likely ranking is (1) intertemporal dependence models, (2)...
Persistent link: https://www.econbiz.de/10012790207
This study examines whether and how earnings quality, measured as accruals quality (AQ), affects the cost of equity capital. Using two-stage cross-sectional regression tests, we find that the AQ risk factor is significantly priced, after controlling for low-priced stocks. This result is robust...
Persistent link: https://www.econbiz.de/10012708948
Persistent link: https://www.econbiz.de/10005512204
This paper reexamines the explanatory power of beta, firm size, book-to-market equity, and the earnings-price ratio for average stock returns, correcting two currently controversial biases: selection bias in COMPUSTAT and the errors-in-variables (EIV) bias. After filling in the missing data on...
Persistent link: https://www.econbiz.de/10005407243
By using an extensive dataset of more than 32 million messages on 91 firms posted on the Yahoo! Finance message board over the period January 2005 to December 2010, we examine whether investor sentiment as expressed in posted messages has predictive power for stock returns, volatility, and...
Persistent link: https://www.econbiz.de/10011116843
This paper examines the time variations of expected momentum profits using a two-state Markov switching model with time-varying transition probabilities to evaluate the empirical relevance of recent rational theories of momentum profits. We find that in the expansion state the expected returns...
Persistent link: https://www.econbiz.de/10011118113
Persistent link: https://www.econbiz.de/10011197202