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Stock (geology)
About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.
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TL;DR: This article examined whether analysts' earnings forecasts and stock recommendations affect their brokerage firms' share of trading in the forecast stocks and found that buy recommendations generate relatively more trading, both buying and selling, through the analyst's brokerage firm.
Abstract: Using unique data on brokerage‐firm trading, I examine whether analysts' earnings forecasts and stock recommendations affect their brokerage firms' share of trading in the forecast stocks. I find that individual analyst's forecasts that differ from the consensus forecast generate significant brokerage‐firm trading in the forecast stocks in the two weeks after the forecast release date, affirming that analysts' forecasts affect their brokers' commission revenue. However, I find no evidence that analysts' forecast errors—the difference between forecast earnings and actual earnings—increase brokerage‐firm trading. This result suggests that analysts cannot generate trade for their employers simply by adding error to their forecasts. I find that buy recommendations generate relatively more trading, both buying and selling, through the analyst's brokerage firm. Collectively, these results suggest that analysts can generate higher trading commissions through their positive stock recommendations than by biasing t...
237 citations
TL;DR: In this paper, the causality and cointegration relationship among the stock markets of the United States, Japan and the South China Growth Triangle (SCGT) region was explored.
236 citations
TL;DR: Karolyi et al. as discussed by the authors take up the challenge to identify the firm characteristics that provide independent information about average U.S. monthly stock returns by simultaneously including 94 characteristics in Fama-MacBeth regressions that avoid overweighting microcaps and adjust for data-snooping bias.
Abstract: We take up Cochrane’s (2011) challenge to identify the firm characteristics that provide independent information about average U.S. monthly stock returns by simultaneously including 94 characteristics in Fama-MacBeth regressions that avoid overweighting microcaps and adjust for data-snooping bias. We find that while 12 characteristics are reliably independent determinants in non-microcap stocks from 1980 to 2014 as a whole, return predictability sharply fell in 2003 such that just two characteristics have been independent determinants since then. Outside of microcaps, the hedge returns to exploiting characteristics-based predictability also have been insignificantly different from zero since 2003. Received January 28, 2015; editorial decision November 28, 2016 by Editor Andrew Karolyi.
235 citations
TL;DR: In this paper, the authors examined value and momentum effects in 18 emerging stock markets using stock level data from January 1990 to December 2011, and found strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe.
Abstract: In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in value and momentum. After forming portfolios sorted on size and book-to-market ratio, as well as size and lagged momentum, we use three well-known factor models to explain the returns for these portfolios based on factors constructed using local, U.S., and aggregate global developed stock markets data. Local factors perform much better, suggesting emerging market segmentation.
235 citations