Prospect Theory Analysts Forecasts And Stock Returns
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Prospect Theory Analysts Forecasts And Stock Returns
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Author : Raymond Seetoh
language : en
Publisher:
Release Date : 2004
Prospect Theory Analysts Forecasts And Stock Returns written by Raymond Seetoh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Prospect Theory Analyst Forecasts And Stock Returns
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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.
Handbook Of The Fundamentals Of Financial Decision Making
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Author : Leonard C. MacLean
language : en
Publisher: World Scientific
Release Date : 2013
Handbook Of The Fundamentals Of Financial Decision Making written by Leonard C. MacLean and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Prospect Theory And Stock Returns
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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.
Evidence Regarding Divergence Of Analysts Forecasts Of Annual Earnings Per Share
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Author : Charles I. Stubbart
language : en
Publisher:
Release Date : 1986
Evidence Regarding Divergence Of Analysts Forecasts Of Annual Earnings Per Share written by Charles I. Stubbart and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Accounting categories.
Analyst Forecasts And Stock Returns
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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.
The Effect Of Analysts Forecasts On Stock Market Returns
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Author : Stefano Bonini
language : en
Publisher:
Release Date : 2009
The Effect Of Analysts Forecasts On Stock Market Returns written by Stefano Bonini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Stock returns forecasting is one of the major objectives of financial analysts. Equity Analysts' forecasts, on the other side, are one of the major sources of information used by less informed investors in their asset allocation decisions. Therefore, analysing which major drivers affect time series of stock returns could allow to shed light over the price revelation process in capital markets. In this paper we propose a model aimed at predicting stock market by combining both macroeconomic and microeconomic factors. We first develop a standard APT approach with multiple macroeconomic factors as regressors. We then integrate the model by explicitly including a metric for intrinsic equity value, basing upon a proxy derived by the weighted average of Stock Market Consensus Forecasts by equity analysts. Third, we complete the model by imposing an ARMA specification for the error term, which allows identifying stock returns' stationarity moving over time. The resulting model shows both a strong fitting capability when tested in the in-sample period and a good predictive capability when applied to an out-of-sample period of monthly Italian stock market returns. In particular, we employed specific estimation procedures based upon recently developed statistics aimed at testing for both factors' equal predicting power and forecast encompassing. As a major empirical finding, our model suggests that the information conveyed by analysts' forecasts is indeed a factor in determining future stock prices, even if there is the possibility that the information transferred could be biased.
Empirical Asset Pricing
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Author : Turan G. Bali
language : en
Publisher: John Wiley & Sons
Release Date : 2016-02-26
Empirical Asset Pricing written by Turan G. Bali 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 2016-02-26 with Business & Economics categories.
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Price Based Investment Strategies
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Author : Adam Zaremba
language : en
Publisher: Springer
Release Date : 2018-07-25
Price Based Investment Strategies written by Adam Zaremba and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-25 with Business & Economics categories.
This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.
Behavioral Corporate Finance
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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.