共查询到20条相似文献，搜索用时 15 毫秒
1.
Burton G. Malkiel 《The Financial Review》2005,40(1):1-9
In recent years financial economists have increasingly questioned the efficient market hypothesis. But surely if market prices were often irrational and if market returns were as predictable as some critics have claimed, then professionally managed investment funds should easily be able to outdistance a passive index fund. This paper shows that professional investment managers, both in The U.S. and abroad, do not outperform their index benchmarks and provides evidence that by and large market prices do seem to reflect all available information. 相似文献
2.
We find evidence of a systematic link between monetary conditions and inter-temporal variation in the price of liquidity. Specifically, following an expansive monetary policy shift, funding conditions improve and market-wide liquidity increases, which is especially beneficial for illiquid securities. The improved liquidity and funding conditions reduce the returns required for holding illiquid securities. Consequently, illiquid stocks experience relatively large price increases when monetary conditions become expansive, and thus, the measured return spread between illiquid and liquid stocks expands substantially. Overall, our evidence supports the claim that the price of asset liquidity is dependent on monetary conditions. 相似文献
3.
We show that previous findings regarding the profitability of trend‐following trading rules over intermediate horizons in futures markets also extend to individual U.S. stocks. Portfolios formed using technical indicators such as moving average or channel ratios, without employing cross‐sectional rankings of any kind, tend to perform about as well as the more commonly examined momentum strategies. The profitability of these strategies appears significant, both statistically and economically, through 2007, but evidence of profitability vanishes after 2007. Market‐state dependence, while clearly present, does not explain the post‐2007 reduction in returns to these strategies. 相似文献
4.
A股个股回报率的惯性与反转 总被引：1，自引：0，他引：1
本文在已有文献基础上系统研究A股个股回报率的惯性与反转现象。本文发现,A股个股回报率在多个时间频率上存在明显的反转,而惯性仅在超短期的日回报率和特定时段的周回报率上存在。本文还发现,交易量对于惯性和反转有显著影响,反转发生的时间有缩短的倾向,且价格变化的速度有随时间推移而加快的倾向。上述发现表明我国A股市场不满足弱有效市场假说,但是表现出一些不同于发达国家市场的规律,且规律随着时间而变化。 相似文献
5.
We examine 1,234 buy recommendations from Jim Cramer's Mad Money television show. Consistent with prior research, we report positive abnormal returns immediately after buy recommendations, followed by a reversal, indicative of an overpricing event. We also find a marked increase in short selling. Our results show a positive association between shorting and the buy recommendations even after controlling for factors shown in the literature to influence shorting. We do not find similar effects after sell recommendations. These results suggest that short sellers act to exploit short‐term overpricing arising from behavioral biases of some investors. 相似文献
6.
Using monthly data from 1953 to 2003, we apply a real‐time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns in real‐time. Our empirical findings show that political variables, chosen on the basis of widely used model‐selection criteria, are often included in real‐time forecasting models. However, political variables do not contribute systematically to improving the performance of simple trading rules. For this reason, political stock market anomalies are not necessarily an indication of market inefficiency. 相似文献
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8.
Hardy Johnson 《The Financial Review》2014,49(4):669-684
I investigate the role odd lot trades play in equity markets, and how this role changes over four periods: 2005, 2007, 2010, and 2012. In each of these years, I examine the determinants, price contribution, and characteristics of odd lot trading. I find that odd lot proportions are increasing, but the determinants of the proportions remain consistent. I find that odd lot transactions contribute to price formation, this contribution is in excess of the odd lot proportion of volume, and is increasing over time. An intraweek pattern of odd lot trading exists with Monday having the highest proportions. 相似文献
9.
Jerry W. Chen 《Accounting & Finance》2012,52(Z1):137-154
This paper proposes a risk‐based explanation for the book‐to‐market (B/M) effect. I decompose B/M into net operating asset‐to‐market (NOA/M) and net financing asset‐to‐market (NFA/M) components. Portfolio analysis shows that (i) positive B/M, NOA/M and NFA/M are positively related to future returns and (ii) negative B/M, NOA/M and NFA/M are negatively related to future returns. To the extent that positive B/M, NOA/M and NFA/M act as measures of asset risk and negative B/M, NOA/M and NFA/M act as inverse measures of borrowing risk, the nonlinear relations between B/M, NOA/M and NFA/M and future returns provide some evidence to support the risk‐based explanation for the book‐to‐market effect in stock returns. 相似文献
10.
Recent literature relates growth option theory to various return regularities. Sagi and Seasholes (2007) (S&S) develop a model that explains momentum profitability using growth option theory. We test the model’s predictions in the Australian market by examining three momentum strategies. Two of these strategies examine the profitability of momentum strategies conditioned on stocks characteristics, whereas the third conditions on previous market returns. Our results are largely supportive of the S&S model. As predicted by S&S, the two strategies that use firm‐specific characteristics yield a higher profit than a simple momentum strategy. The third strategy that conditions on the previous market return also leads to differences in momentum profitability between bull and bear markets, but these differences are small and largely insignificant. 相似文献
11.
MICHAEL T. KILEY 《Journal of Money, Credit and Banking》2014,46(5):1057-1071
Monetary policy actions since 2008 have influenced long‐term interest rates through forward guidance and quantitative easing. I propose a strategy to identify the comovement between interest rate and equity price movements induced by monetary policy when an observable representing policy changes is not available. A decline in long‐term interest rates induced by monetary policy statements has a larger positive effect on equity prices prior to 2009 than in the subsequent period. This change appears to reflect the impact of the zero lower bound on short‐term interest rates. 相似文献
12.
We find that returns to momentum investing are higher among high idiosyncratic volatility ( IVol) stocks, especially high IVol losers. Higher IVol stocks also experience quicker and larger reversals. The findings are consistent with momentum profits being attributable to underreaction to firm‐specific information and with IVol limiting arbitrage of the momentum effect. We also find a positive time‐series relation between momentum returns and aggregate IVol. Given the long‐term rise in IVol, this result helps explain the persistence of momentum profits since Jegadeesh and Titman's (1993) study. 相似文献
13.
We explore the relationship between stock splits and subsequent long‐term returns during the period from 1950 to 2000. We find that, contrary to much previous research, firms do not exhibit positive long‐term post‐split returns. Instead, we find that significant positive returns after the announcement date do not persist after the actual date of the stock split. We also observe that abnormal returns are correlated with the price‐delay or market friction. We conclude that the stock‐split post‐announcement “drift” is only of short duration, and it is attributable to trading frictions rather than behavioral biases. 相似文献
14.
Richard W. Sias 《The Financial Review》2007,42(1):1-22
A growing literature evaluates the relation between lag returns and demand by institutional investors. Given that lag returns and institutional ownership are directly observable, it is surprising that previous tests yield dramatically different conclusions. This study examines differences across studies and finds that four factors account for these discrepancies: (1) value‐weighting versus equal‐weighting across stocks, (2) averaging versus aggregating over managers, (3) disagreement in the signs of measures of institutional demand, and (4) correlation between current capitalization and both lag returns and measures of institutional demand. Controlling for these factors, the results across different methods are remarkably uniform. 相似文献
15.
One explanation offered for stock splits is that the split signals positive information by reducing the stock price range in expectation of improved future prospects. Price declines also lead to changes in stock price dynamics, but related securities are not subject to these other changes and therefore can be used to provide a separate assessment of the markets’ interpretation of the split. We examine corporate bond issues around stock splits and find a significant decline in the bond yield spread following stock splits, supporting the signaling hypothesis. We also confirm improvements in forecasted and realized earnings subsequent to stock splits. 相似文献
16.
This study provides European evidence on the ability of static and dynamic specifications of the Fama‐French (1993) three‐factor model to price 25 size‐B/M portfolios. In contrast to US evidence, we detect a small‐growth premium and find that the size effect is still present in Europe. Furthermore, we document strong time variation in factor risk loadings. Incorporating these risk fluctuations in conditional specifications of the three‐factor model clearly improves its ability to explain time variation in expected returns. However, the model still fails to completely capture cross‐sectional variation in returns as it is unable to explain the momentum effect. 相似文献
17.
We evaluate whether the market reacts rationally to profit warnings by testing for subsequent abnormal returns. Warnings fall into two classes: those that include a new earnings forecast, and those that offer only the guidance that earnings will be below current expectations. We find significant negative abnormal returns in the first three months following both types of warning. There is also evidence that underreaction is more pronounced when the disclosure is less precise. Abnormal returns are significantly more negative following disclosures that offer only qualitative guidance than when a new earnings forecast is included. 相似文献
18.
Avanidhar Subrahmanyam 《European Financial Management》2005,11(5):661-678
In this paper, we shed further light on cross‐sectional predictors of stock return performance. Specifically, we explore whether the cross‐section of expected stock returns is robust within stock groups sorted by past monthly return. We find that the book/market and momentum effects are remarkably robust to sorting on past returns. However, share turnover is negatively related to future returns for stocks with abnormally low stock price performance in the recent past, but postively related to returns for well‐performing stocks. This casts doubt on the use of turnover as a liquidity proxy, but is consistent with turnover being a proxy for momentum trading which pushes prices in the direction of past price movements. Our results are robust to both NYSE/AMEX and Nasdaq stocks, and also robust to stratifying the sample by time period. 相似文献
19.
Baseball cards exhibit anomalies that are analogous to those that are documented in financial markets, namely, momentum, price drift in the direction of past fundamental performance, and initial public offering (IPO) underperformance. Momentum is higher among active players than retired players, and among newer sets than older sets. Regarding IPO underperformance, we find that newly issued rookie cards underperform newly issued cards of veteran players, and that newly issued sets underperform older sets. The results are broadly consistent with models of slow information diffusion and short-selling constraints. 相似文献
20.
This paper presents evidence of the existence of a return effect on European stock markets coinciding with New York Stock Exchange (NYSE) holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect is large enough to be exploited by trading index futures. This anomaly cannot be explained by seasonal effects, such as the day of the week effect, the January effect or the pre‐holiday effect, nor is it consistent with behavioural finance models that predict positive correlation between trading volume and returns. However, examination of factors such as information volume or investor mix provides a reasonable explanation. 相似文献