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Technical change, the long-run behavior of the United States stock market, and an enquiry into the accuracy of simulations

Peralta-Alva, Adrian - 2003

Persistent link: https://www.econbiz.de/10003385463

Sorting, Selection, and Announcement Returns in Takeover Markets

Kawakami, Kei - 2019

We present a competitive model of takeovers that explains two robust features of the data: target premia and size-dependent bidder returns. Takeovers are driven by complementarity between two factors, non-tradeable "skill" and a tradeable "project". Firms are heterogeneous in both dimensions....

Persistent link: https://www.econbiz.de/10012866320

Measuring biases in expectation formation

Peters, Florian; Kucinskas, Simas - 2018

We develop a general framework for measuring biases in expectation formation. The method is based on the insight that biases can be inferred from the response of forecast errors to past news. Empirically, biases are measured by flexibly estimating the impulse response function of forecast...

Persistent link: https://www.econbiz.de/10011869992

Influence of news on rational decision making by financial market investors

Shantha Gowri B.; Ram, Vedantam Seetha - In: Investment management and financial innovations 16 (2019) 3, pp. 142-156

Persistent link: https://www.econbiz.de/10012159366

Bias-free nonparametric estimation of intra-day trade activity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000

Persistent link: https://www.econbiz.de/10001517885

Information flow and pricing errors : a unified approach to estimation and testing

George, Thomas J.; Hwang, Chuan-Yang - In: The review of financial studies 14 (2001) 4, pp. 979-1020

Persistent link: https://www.econbiz.de/10001619461

Earnings expectations, investor trade size, and anomalous returns around earnings announcements

Battalio, Robert H.; Mendenhall, Richard R. - In: Journal of financial economics 77 (2005) 2, pp. 289-319

Persistent link: https://www.econbiz.de/10003052530

True Fundamentals Hypothesis : Detecting Bias in the Stock Market

Sano, Kazuo - 2019

The fundamental indicators of stocks include information as well as the effects of noise and bias on the stock prices …; however, identifying the effects of noise and bias is generally difficult. In this article, I present the true fundamentals … hypothesis based on rational expectations and detect bias components from the actual fundamental indicators by using a log …

Persistent link: https://www.econbiz.de/10012904105

Exceeding Expectations : Economic Forecasts, Anchroing Bias and Stock Returns

Birz, Gene - 2019

rational as they exhibit an anchoring bias. The forecasts systematically under-predict macroeconomic statistics and the … through this bias, i.e. we find statistically significant stock price effects of anticipated components of macroeconomic …

Persistent link: https://www.econbiz.de/10012904534

Impact of price path on disposition bias

Bansal, Avijit; Jacob, Joshy - In: Journal of banking & finance 143 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013533436