Expectations In The Cross Section
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Expectations And The Cross Section Of Stock Returns
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Author : Rafael La Porta
language : en
Publisher:
Release Date : 1998
Expectations And The Cross Section Of Stock Returns written by Rafael La Porta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Previous research has shown that stocks with low prices relative to book value, cash flow, earnings, or dividends (that is, value stocks) earn high returns. Value stocks may earn high returns because they are more risky. Alternatively, systematic errors in expectations may explain the high returns earned by value stocks. I test for the existence of systematic errors using survey data on forecasts by stock market analysts. I show that investment strategies that seek to exploit errors in analysts' forecasts earn superior returns because expectations about future growth in earnings are too extreme.
Expectations In The Cross Section
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Author : Johnathan Loudis
language : en
Publisher:
Release Date : 2019
Expectations In The Cross Section written by Johnathan Loudis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This paper provides evidence that the market does not efficiently incorporate expected returns implied by analyst price targets into prices. I use a novel decomposition to extract information and bias components from these analyst-expected returns and develop an asset pricing framework that helps interpret price reactions to each component. A one-standard-deviation increase in the information (bias) component is associated with a five (one) percentage point increase in announcement-month returns. The positive reaction to bias implies the market does not fully debias analyst-expected returns before incorporating them into prices. Prices overreact to bias and reverse their initial reaction within three to six months. Prices underreact to information and returns drift an additional one percentage point beyond their initial reaction in the following 12 months. Announcement-window returns forecast future returns, which provides model-free evidence of underreaction, and that underreaction dominates overreaction. Trading against underreaction generates average monthly returns of 1.12% with a Sharpe ratio of 1.08, and the returns survive controlling for exposure to many standard factors.
Differences In Options Investors Expectations And The Cross Section Of Stock Returns
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Author : Panayiotis C. Andreou
language : en
Publisher:
Release Date : 2018
Differences In Options Investors Expectations And The Cross Section Of Stock Returns written by Panayiotis C. Andreou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by more than 1% per month. In line with the idea that IDISP reflects dispersion in investors' beliefs, we find that the negative IDISP-return relationship is particularly pronounced around earnings announcements, in high sentiment periods and among stocks that exhibit relatively high short-selling impediments. Moreover, the IDISP effect is highly persistent and robustly distinct from the effects of a large array of previously documented cross-sectional return predictors.
Do Errors In Expectations Explain The Cross Section Of Stock Returns
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Author : G. Mujtaba Mian
language : en
Publisher:
Release Date : 2005
Do Errors In Expectations Explain The Cross Section Of Stock Returns written by G. Mujtaba Mian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Value stocks have historically outperformed growth stocks in most of the major international markets. Many researchers attribute this phenomenon to overly optimistic (pessimistic) expectations of investors for growth (value) stocks. In this paper, we use professional analysts' earnings forecasts from Japan to test this errors-in-expectations hypothesis. We compare the magnitude of the forecast errors, the proportion of optimistic and pessimistic forecasts, and the likelihood of downward forecast revisions, across growth and value stocks. In contrast to the predictions of the hypothesis, we do not find any evidence that earnings forecasts are systematically more optimistic for growth than for value stocks. Our results also suggest that the alleged correlation between book-to-market value, a common measure of growth, and forecast errors is the result of a measurement bias in computing the magnitude of the latter variable.
A Test Of The Expectations Hypothesis Of The Term Structure Using Cross Section Data
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Author : Richard D. F. Harris
language : en
Publisher:
Release Date : 1998
A Test Of The Expectations Hypothesis Of The Term Structure Using Cross Section Data written by Richard D. F. Harris and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Interest rates categories.
Revisions In Survey Expectations And Cross Section Of Stock Returns
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Author : Polina Efremenko
language : en
Publisher:
Release Date : 2019
Revisions In Survey Expectations And Cross Section Of Stock Returns written by Polina Efremenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Econometric Analysis Of Cross Section And Panel Data Second Edition
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Author : Jeffrey M. Wooldridge
language : en
Publisher: MIT Press
Release Date : 2010-10-01
Econometric Analysis Of Cross Section And Panel Data Second Edition written by Jeffrey M. Wooldridge and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-01 with Business & Economics categories.
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Handbook Of Economic Expectations
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Author : Ruediger Bachmann
language : en
Publisher: Elsevier
Release Date : 2022-11-04
Handbook Of Economic Expectations written by Ruediger Bachmann and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-11-04 with Business & Economics categories.
Handbook of Economic Expectations discusses the state-of-the-art in the collection, study and use of expectations data in economics, including the modelling of expectations formation and updating, as well as open questions and directions for future research. The book spans a broad range of fields, approaches and applications using data on subjective expectations that allows us to make progress on fundamental questions around the formation and updating of expectations by economic agents and their information sets. The information included will help us study heterogeneity and potential biases in expectations and analyze impacts on behavior and decision-making under uncertainty. Combines information about the creation of economic expectations and their theories, applications and likely futures Provides a comprehensive summary of economics expectations literature Explores empirical and theoretical dimensions of expectations and their relevance to a wide array of subfields in economics
Are Exchange Rate Expectations Biased Tests For A Cross Section Of 25 Currencies
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Author : Menzie David Chinn
language : es
Publisher:
Release Date : 1991
Are Exchange Rate Expectations Biased Tests For A Cross Section Of 25 Currencies written by Menzie David Chinn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Machine Learning For Asset Management
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Author : Emmanuel Jurczenko
language : en
Publisher: John Wiley & Sons
Release Date : 2020-10-06
Machine Learning For Asset Management written by Emmanuel Jurczenko and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-06 with Business & Economics categories.
This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.