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Retail Investor Sentiment and Return Comovements 总被引:3,自引:1,他引:3
Using a database of more than 1.85 million retail investor transactions over 1991–1996, we show that these trades are systematically correlated—that is, individuals buy (or sell) stocks in concert. Moreover, consistent with noise trader models, we find that systematic retail trading explains return comovements for stocks with high retail concentration (i.e., small‐cap, value, lower institutional ownership, and lower‐priced stocks), especially if these stocks are also costly to arbitrage. Macroeconomic news and analyst earnings forecast revisions do not explain these results. Collectively, our findings support a role for investor sentiment in the formation of returns. 相似文献
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This study examines whether local stock returns vary with local business cycles in a predictable manner. We find that U.S. state portfolios earn higher future returns when state‐level unemployment rates are higher and housing collateral ratios are lower. During the 1978 to 2009 period, geography‐based trading strategies earn annualized risk‐adjusted returns of 5%. This abnormal performance reflects time‐varying systematic risks and local‐trading induced mispricing. Consistent with the mispricing explanation, the evidence of predictability is stronger among firms with low visibility and high local ownership. Nonlocal domestic and foreign investors arbitrage away the predictable patterns in local returns in 1 year. 相似文献
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This paper explores the viability of standardization of design and manufacturing techniques to expedite product development and control design proliferation using an example of a leading transport refrigeration unit manufacturer. As an incremental approach to implementing standardization in a product development environment, a conceptual framework for component management decision support system is presented to build a case for its technical feasibility. The primary objective of this research case study is to provide an economic justification for implementing the proposed system. A three level decision making hierarchy is proposed with economic optimization for levels 1 and 2 representing standardization of system modules and capacity decisions for a product line respectively and thermodynamic optimization for level 3 representing control systems to keep the system dynamically balanced in changing environments. Other potential applications amenable to classification are identified. 相似文献
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PRAVEEN KUMAR NISAN LANGBERG K. SIVARAMAKRISHNAN 《Journal of Accounting Research》2016,54(5):1365-1394
We examine voluntary disclosure and capital investment by an informed manager in an initial public offering (IPO) in the presence of informed and uninformed investors. We find that in equilibrium, disclosure is more forthcoming—and investment efficiency is lower—when a greater fraction of the investment community is already informed. Moreover, managers disclose more information when the likelihood of an information event is higher, more equity is issued, or the cost of information acquisition is lower. Investment efficiency and the expected level of underpricing are non‐monotonic in the likelihood that the manager is privately informed. 相似文献