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Dispersion of opinion and stock returns
Journal of Financial Markets, 2005Abstract We use a panel of more than 100,000 investor accounts in US stocks over the period 1991–1995 to construct an investor-based measure of dispersion of opinion, unlike the analyst-based measure used in the literature. We use this measure to test two competing hypotheses: the sidelined investors hypothesis and the uncertainty/asymmetric ...
WILLIAM N. GOETZMANN, MASSIMO MASSA
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Manager Sentiment and Stock Returns
SSRN Electronic Journal, 2017Abstract This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2s of 9.75% and 8.38%, respectively, which is far greater than the ...
Fuwei Jiang +3 more
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Stock Return Autocorrelations and Expected Option Returns
Management ScienceWe show that the return autocorrelation of underlying stock is an important determinant of expected equity option returns. Using an extended Black-Scholes model incorporating the presence of stock return autocorrelation, we demonstrate that expected returns of both call and put options are increasing in the return autocorrelation coefficient of the ...
Yoontae Jeon, Raymond Kan, Gang Li
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SSRN Electronic Journal, 2015
The standard disclaimer in the prospectus of any mutual fund reminds investors that "past performance is not necessarily indicative of future results." Despite the disclaimer, arguably a large fraction of investors looks at recent past performance to form expectations about future returns and "times the market" balancing portfolios on the basis of ...
Borri, Nicola, Cagnazzo, Alberto
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The standard disclaimer in the prospectus of any mutual fund reminds investors that "past performance is not necessarily indicative of future results." Despite the disclaimer, arguably a large fraction of investors looks at recent past performance to form expectations about future returns and "times the market" balancing portfolios on the basis of ...
Borri, Nicola, Cagnazzo, Alberto
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Stock Returns, Expected Returns, and Real Activity
The Journal of Finance, 1990ABSTRACTMeasuring the total return variation explained by shocks to expected cash flows, time‐varying expected returns, and shocks to expected returns is one way to judge the rationality of stock prices. Variables that proxy for expected returns and expected‐return shocks capture 30% of the variance of annual NYSE value‐weighted returns.
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THE DISTRIBUTION OF RETURNS OF STOCK PRICES
International Journal of Theoretical and Applied Finance, 2000We perform a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets. We consider (i) the trades and quotes (TAQ) database, for which we analyze 40 million records for 1000 US companies for the 2-year period 1994–95, and (ii)
Amaral, Luís A. N. +4 more
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Stock-Bond Return Dynamics and the Expected Country Stock Returns
SSRN Electronic JournalStock and bond prices of a country move together with increasing country-specific risk. Bonds effectively hedge growth expectation risk when country-specific risk is low, resulting in a negative stock-bond correlation. However, as country-specific risk increases, hedging is less effective because (1) rising domestic prices tend to reduce a country’s ...
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2020
The Stock Returns Project was to assist the research of our client, Ziqian Song, to analyze the language used in the financial news and social media discussions surrounding stock-related events, and to derive meaningful insights from this data. Our end goal was to build meaningful tools that can help the client analyze information surrounding the ...
Shi, Simon +4 more
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The Stock Returns Project was to assist the research of our client, Ziqian Song, to analyze the language used in the financial news and social media discussions surrounding stock-related events, and to derive meaningful insights from this data. Our end goal was to build meaningful tools that can help the client analyze information surrounding the ...
Shi, Simon +4 more
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Disaggregated Sales and Stock Returns
Management Science, 2018Using transaction-level credit-card spending from a large U.S. financial institution, we show that disaggregated sales provide accurate and persistent signals of customer demand relevant to a firm’s stock pricing. After controlling for earnings and sales surprises, one interquintile increase in the adjusted customer spending during a firm’s fiscal ...
Sumit Agarwal, Wenlan Qian, Xin Zou
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Real Stock Returns and Inflation
The Journal of Finance, 1984ABSTRACTThis paper develops the relation between the real rate of return on the stock market and changes in the price level using a multiperiod economy with production. The observed relation between real ex post stock returns and inflation is shown to be consistent with equilibrium in an economy with rational investors.
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