Prospect Theory Analyst Forecasts And Stock Returns
DOWNLOAD
Download Prospect Theory Analyst Forecasts And Stock Returns PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Prospect Theory Analyst Forecasts And Stock Returns book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Prospect Theory Analyst Forecasts And Stock Returns
DOWNLOAD
Author : Charlie Charoenwong
language : en
Publisher:
Release Date : 2013
Prospect Theory Analyst Forecasts And Stock Returns written by Charlie Charoenwong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper documents how prospect theory can be used to explain stock returns and analysts' forecast behavior. Positive earnings surprises are associated with increases in abnormal returns but negative earnings surprises have only a limited negative impact on returns. We find that analysts display asymmetric behavior towards positive and negative earnings growth. Analysts' forecasts are found to be accurate during periods of positive earnings growth, but overly optimistic during periods of negative earnings growth. Our findings have implications for the structuring of investment products, as well as the role of market timing in their introduction.
Prospect Theory And Stock Returns
DOWNLOAD
Author : Nicholas Barberis
language : en
Publisher:
Release Date : 2016
Prospect Theory And Stock Returns written by Nicholas Barberis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. In a simple model of asset prices where some investors think in this way, a stock whose past return distribution has a high (low) prospect theory value earns a low (high) subsequent return, on average. We find empirical support for this prediction in the cross-section of U.S. stock returns, particularly among small-capitalization stocks where less sophisticated investors are likely to have a bigger impact on prices. We repeat our tests in 46 international stock markets and find a similar pattern in a majority of these markets.
Analyst Forecasts And Stock Returns
DOWNLOAD
Author : James S. Ang
language : en
Publisher:
Release Date : 2001
Analyst Forecasts And Stock Returns written by James S. Ang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
This study seeks to determine the relation between stock returns and analyst forecast properties, specifically, the dispersion and error of annual earnings forecasts. The results of portfolio sorts, Fama-MacBeth cross-sectional regression models, and Fama and French (1993) factor models indicate firms with low dispersion or error outperform firms with high dispersion or error. Robustness tests show the results are not explained by liquidity, momentum, industry, post-earnings announcement drift, or traditional risk measures. An investment strategy based on forecast properties is shown to produce zero-cost returns of 13% per year, yielding positive returns in all 19 years using an error measure. The results are not attributable to several potential theories. Risk-related theories are eliminated as firms with low dispersion or error (quot;transparentquot;) outperform firms with high dispersion or error (quot;opaquequot;). This remains true even after controlling for volatility measures. Behavioral theories based on optimism are also eliminated as optimistic forecasts only explain a small part of the results. Finally, the results are not related to contrarian-value strategies as the transparent firms outperform in both up and down markets.
High Idiosyncratic Volatility And Low Returns
DOWNLOAD
Author : Ajay Bhootra
language : en
Publisher:
Release Date : 2014
High Idiosyncratic Volatility And Low Returns written by Ajay Bhootra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
The well-documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk-averse. However, under prospect theory, while investors are risk-averse in the domain of gains, they exhibit risk-seeking behavior in the domain of losses. Consistent with risk-seeking investors' preference for high volatility stocks in the loss domain, we find that the negative relationship between idiosyncratic volatility and stock returns is concentrated in stocks with unrealized capital losses, but is non-existent in stocks with unrealized capital gains. This finding is robust to control for short-term return reversals and maximum daily return, among other variables.
Handbook Of Exchange Rates
DOWNLOAD
Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-29
Handbook Of Exchange Rates written by Jessica James 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 2012-05-29 with Business & Economics categories.
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Behavioral Corporate Finance
DOWNLOAD
Author : Hersh Shefrin
language : en
Publisher: College Ie Overruns
Release Date : 2017-04-16
Behavioral Corporate Finance written by Hersh Shefrin and has been published by College Ie Overruns this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-16 with Corporations categories.
Handbook Of Behavioral Economics Foundations And Applications 1
DOWNLOAD
Author :
language : en
Publisher: Elsevier
Release Date : 2018-09-27
Handbook Of Behavioral Economics Foundations And Applications 1 written by and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-27 with Business & Economics categories.
Handbook of Behavioral Economics: Foundations and Applications presents the concepts and tools of behavioral economics. Its authors are all economists who share a belief that the objective of behavioral economics is to enrich, rather than to destroy or replace, standard economics. They provide authoritative perspectives on the value to economic inquiry of insights gained from psychology. Specific chapters in this first volume cover reference-dependent preferences, asset markets, household finance, corporate finance, public economics, industrial organization, and structural behavioural economics. This Handbook provides authoritative summaries by experts in respective subfields regarding where behavioral economics has been; what it has so far accomplished; and its promise for the future. This taking-stock is just what Behavioral Economics needs at this stage of its so-far successful career. Helps academic and non-academic economists understand recent, rapid changes in theoretical and empirical advances within behavioral economics Designed for economists already convinced of the benefits of behavioral economics and mainstream economists who feel threatened by new developments in behavioral economics Written for those who wish to become quickly acquainted with behavioral economics
Quarterly Journal Of Finance And Accounting
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2008
Quarterly Journal Of Finance And Accounting written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Accounting categories.
Financial Markets Theory
DOWNLOAD
Author : Emilio Barucci
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Financial Markets Theory written by Emilio Barucci and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.
Handbook Of Marketing And Finance
DOWNLOAD
Author : Shankar Ganesan
language : en
Publisher: Edward Elgar Publishing
Release Date : 2012
Handbook Of Marketing And Finance written by Shankar Ganesan and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
Many organizations have found that the value to business operations and financial performance created by the marketing function has become very important. The need to demonstrate this importance has also become clear. Top managers are constantly challenging marketers to document marketing's contribution to the bottom-line and link marketing investments and assets to metrics that matter to them. This Handbook relates marketing actions to various types of risk and return metrics that are typically used in the domain of finance. It provides current knowledge of this marketing-finance interface in a single, authoritative volume and brings together new cutting-edge research by established marketing scholars on a range of topics in the area. The research in the marketing-finance interface spans tactical and strategic marketing actions related to the creation, communication, delivery and appropriation of the value proposition. The chapters, specifically written for this Handbook, draw on theoretical developments in economics, accounting, finance, psychology and cutting-edge statistical and econometric approaches. Academics and doctoral students in marketing, accounting, finance, and applied economics, along with marketing and brand strategy-focused business practitioners and consultants, will appreciate the state-of-the-art research herein.