Journal ArticleDOI
Do Brokerage Analysts' Recommendations Have Investment Value?
TLDR
In this article, an analysis of new buy and sell recommendations of stocks by security analysts at major U.S. brokerage firms shows significant, systematic discrepancies between pre-recommendation prices and eventual values.Abstract:
An analysis of new buy and sell recommendations of stocks by security analysts at major U.S. brokerage firms shows significant, systematic discrepancies between prerecommendation prices and eventual values. The initial return at the time of the recommendations is large, even though few recommendations coincide with new public news or provide previously unavailable facts. However, these initial price reactions are incomplete. For buy recommendations, the mean postevent drift isread more
Citations
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Journal ArticleDOI
Investor Psychology and Security Market Under- and Overreactions
TL;DR: The authors proposed a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes.
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Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions'
Kent Daniel,Kent Daniel,David Hirshleifer,David Hirshleifer,Avanidhar Subrahmanyam,Avanidhar Subrahmanyam +5 more
TL;DR: This paper proposed a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes.
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A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets
TL;DR: The authors developed a two-factor model of the term-structure which implies that a linear combination of any two rates can be used as a proxy for the central tendency, based on which they estimate the one-month rate which performs better than models which assume the central tendency to be constant.
Journal ArticleDOI
Detecting long-run abnormal stock returns: The empirical power and specification of test statistics
Brad M. Barber,John D. Lyon +1 more
TL;DR: In this paper, the empirical power and specification of test statistics in event studies designed to detect long-run (one to five-year) abnormal stock returns were analyzed and three reasons for this misspecification were identified.
Journal ArticleDOI
A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
Harrison Hong,Jeremy C. Stein +1 more
TL;DR: In this paper, the authors model a market populated by two groups of boundedly rational agents: "newswatchers" and "momentum traders" and provide a unified account of under- and overreactions.
References
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI
The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
Journal ArticleDOI
Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
Journal ArticleDOI
Using daily stock returns: The case of event studies
TL;DR: In this paper, the authors examine properties of daily stock returns and how the particular characteristics of these data affect event study methodologies and show that recognition of autocorrelation in daily excess returns and changes in their variance conditional on an event can sometimes be advantageous.
Journal ArticleDOI
An empirical evaluation of accounting income numbers
Ray Ball,Philip Brown +1 more
TL;DR: In this article, it is argued that income numbers cannot be defined substantively, that they lack "meaning" and are therefore of doubtful utility, and the argument stems in part from the patchwork development of account-based theories.
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