scholarly journals Overconfident Investors, Predictable Returns, and Excessive Trading

2015 ◽  
Author(s):  
Kent D. Daniel ◽  
David A. Hirshleifer
Keyword(s):  
Predictable Returns

Competition, Markups and Predictable Returns

2015 ◽  
Author(s):  
Alexandre Corhay ◽  
Howard Kung ◽  
Lukas Schmid
Keyword(s):  
Predictable Returns

Reconsidering Returns

2021 ◽  
Author(s):  
Samuel M Hartzmark ◽  
David H Solomon
Keyword(s):  
Mutual Funds ◽  
Price Index ◽  
Market Performance ◽  
Performance Expectations ◽  
Asset Value ◽  
Net Asset Value ◽  
Perception Of Performance ◽  
Predictable Returns

Abstract Investors’ perception of performance is biased because the relevant measure, returns, is rarely displayed. Major indices ignore dividends, thereby underreporting market performance. Newspapers are more pessimistic on ex-dividend days, consistent with mistaking the index for returns. Market betas should track returns, but track prices more than dividends, creating predictable returns. Mutual funds receive inflows for “beating the S&P 500” price index based on net asset value (also not a return). Investors extrapolate market indices, not returns, when forming annual performance expectations. Displaying returns by default would ameliorate these issues, which arise despite high attention and agreement on the appropriate measure.

Technological links and predictable returns

2019 ◽  
Vol 132 (3) ◽  
pp. 76-96 ◽  
Author(s):  
Charles M.C. Lee ◽  
Stephen Teng Sun ◽  
Rongfei Wang ◽  
Ran Zhang
Keyword(s):  
Predictable Returns

Do Analysts Say Anything About Earnings Without Revising Their Earnings Forecasts?

2018 ◽  
Vol 94 (2) ◽  
pp. 29-52 ◽  
Author(s):  
Philip G. Berger ◽  
Charles G. Ham ◽  
Zachary R. Kaplan
Keyword(s):  
Earnings Forecasts ◽  
Share Price ◽  
Earnings Forecast ◽  
Forecast Dispersion ◽  
Earnings Announcement ◽  
Forecast Revisions ◽  
Predictable Returns

ABSTRACT Analysts are selective about which forecasts they update and, thus, convey information about current quarter earnings even when not revising the current quarter earnings (CQE) forecast. We find that (1) textual statements, (2) share price target revisions, and (3) future quarter earnings forecast revisions all predict error in the CQE forecast. We document several reasons analysts sometimes omit information from the CQE forecast: to facilitate beatable forecasts by suppressing positive news from the CQE forecast, to herd toward the consensus, and to avoid small forecast revisions. We also show that omitting information from CQE forecasts leads to lower forecast dispersion and predictable returns at the earnings announcement.

Stock Market Bubbles? A Reply

1995 ◽  
Vol 55 (3) ◽  
pp. 655-665 ◽  
Author(s):  
Eugene N. White
Keyword(s):  
Stock Market ◽  
Mutual Fund ◽  
Stock Prices ◽  
Mean Reversion ◽  
Efficient Markets ◽  
Excess Volatility ◽  
Stock Market Bubbles ◽  
The Mean ◽  
Predictable Returns

Research in finance is guided by powerful intuitions from models of efficient markets. However, researchers have uncovered a number of puzzles that are not explained by these models. Such anomalies include the excess volatility of stock prices, the closed-end mutual fund paradox, and the mean reversion in stock prices that produces predictable returns for long holding periods.1 Whereas financial economists all recognize the existence of these puzzles, they disagree about how they can be explained. Robert J. Shiller argues, for example, that efficient-markets models cannot hope to explain these anomalies and looks to alternatives that incorporate fads.2 In contrast, John H. Cochrane believes that the puzzles can be explained by improved models of fundamentals.3

Recurring Firm Events and Predictable Returns: The Within-Firm Time Series

2018 ◽  
Vol 10 (1) ◽  
pp. 499-517 ◽  
Author(s):  
Samuel M. Hartzmark ◽  
David H. Solomon
Keyword(s):  
Time Series ◽  
Idiosyncratic Risk ◽  
Risk Theory ◽  
Underlying Causes ◽  
Predictable Returns

We review the literature on recurring firm events and predictable returns. Many common firm events recur on a predictable basis, such as earnings and dividends, among others. These events tend to be associated with large positive returns in the period when the events are predicted to occur (without conditioning on the outcome or existence of the event itself). These returns occur mainly on the long side of the portfolio, are statistically and economically large when value weighted, and replicate internationally. It is difficult to explain the observed patterns with a unified risk theory. Some of the underlying causes seem to be related to idiosyncratic risk, predictable attention, probability mistakes, and demand for corporate distributions.

R&D Spillover and Predictable Returns*

2015 ◽  
Vol 20 (5) ◽  
pp. 1769-1797 ◽  
Author(s):  
Yi Jiang ◽  
Yiming Qian ◽  
Tong Yao
Keyword(s):  
Predictable Returns
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