A5062235877- Financial Markets and Investment Strategies
- Corporate Finance and Governance
- Housing Market and Economics
- Auditing, Earnings Management, Governance
- Market Dynamics and Volatility
- Complex Systems and Time Series Analysis
- COVID-19 Pandemic Impacts
- Financial Literacy, Pension, Retirement Analysis
- COVID-19 epidemiological studies
- Stock Market Forecasting Methods
- Financial Reporting and Valuation Research
- Stochastic processes and financial applications
- Economic theories and models
- Monetary Policy and Economic Impact
- Banking stability, regulation, efficiency
- Agricultural risk and resilience
- Financial Risk and Volatility Modeling
- Cybercrime and Law Enforcement Studies
- Inflammasome and immune disorders
- Economic Theory and Policy
- Business and Economic Development
- RNA Research and Splicing
- Kawasaki Disease and Coronary Complications
- RNA modifications and cancer
- Influenza Virus Research Studies
University of Gothenburg
2024
Institut d'Investigacions Biomèdiques de Barcelona
2022
Consejo Superior de Investigaciones Científicas
2022
Consorci Institut D'Investigacions Biomediques August Pi I Sunyer
2022
Dmitry Rogachev National Research Center of Pediatric Hematology, Oncology and Immunology
2022
Brandeis University
2008-2021
University of California, Davis
2001-2018
International Monetary Fund
2013
University of Washington
2007
CME Group (United States)
2000-2001
ABSTRACT We provide evidence that stocks with higher dispersion in analysts' earnings forecasts earn lower future returns than otherwise similar stocks. This effect is most pronounced small and have performed poorly over the past year. Interpreting analysts as a proxy for differences opinion about stock, we show this consistent hypothesis prices will reflect optimistic view whenever investors lowest valuations do not trade. By contrast, our inconsistent proxies risk.
ABSTRACT This paper documents a close link between mispricing and liquidity by investigating stocks with high analyst disagreement. Previous research finds that these tend to be overpriced, but prices correct downwards as uncertainty about earnings is resolved. Our analysis suggests one reason has persisted through the years disagreement coincides trading costs. We also show in cross‐section, less liquid more severely overpriced. Additionally, increases aggregate market accelerate...
Abstract We classify a unique and comprehensive data set of corporate press releases into topics study the market reaction to various types news. While confirming prior findings regarding strong stock price responses financial news, we also document significant reactions news about strategy, customers partners, products services, management changes, legal developments. Consistent with regulators' expectations, level informational asymmetry in declines following most releases. At same time,...
Why do asset price bubbles continue to appear in various markets? What types of events give rise and why arbitrage forces fail quickly burst them? Do have real economic consequences should policy makers more prevent This paper provides an overview recent literature on bubbles, with significant attention given behavioral models rational frictions. The latest U.S. estate bubble is described the context this literature.
We show that new managers who take over mutual fund portfolios sell off inherited momentum losers at higher rates than stocks in any other decile, even after adjusting for concurrent trades these by continuing managers. This behavior is observed regardless of characteristics and stronger when are external hires. The tendency to hold on could be consistent with either a bias stemming from an inability ignore the sunk costs associated stocks' past underperformance or conscious desire protect...
Without any intervention, the novel coronavirus would cost U.S. economy over $9 trillion. A suppression policy aims to reduce number of new cases through strict social distancing measures by closing schools and non-essential businesses. Less restrictive, a mitigation merely slow growth in limiting close interactions isolating contagious individuals. Assuming that phase will be replaced until vaccine availability, we find optimal duration is shorter higher its economic more effectively both...
Inherited deficiency of the RNA lariat–debranching enzyme 1 (DBR1) is a rare etiology brainstem viral encephalitis. The cellular basis disease and range predisposition are unclear. We report inherited DBR1 in 14-year-old boy who suffered from isolated SARS-CoV-2 patient homozygous for previously reported hypomorphic pathogenic variant (I120T). Consistently, I120T/I120T fibroblasts affected individuals this another unrelated kindred have similarly low levels protein high lariats. human...
I present evidence of inefficient information processing in equity markets by documenting that negative withheld securities analysts is incorporated stock prices with a significant delay. estimate the extent based on proportion who stop revising their annual earnings forecasts. This measure predicts surprises and price reaction around announcements. It could also be used to generate profitable trading strategies. show institutions tend sell holdings as my unreported news increases, thus...
Using new data on market‐based transactions we construct real estate price indexes for Manhattan between 1920 and 1939. During the 1920s prices reached their highest level in third quarter of 1929 before falling by 67% at end 1932 hovering around that value most Great Depression. The high‐end properties strongly co‐moved with stock market 1932. A typical property bought would have retained only 56% its initial nominal terms two decades later. An investment index (including dividends)...
Why do asset price bubbles continue to appear in various markets?This paper provides an overview of recent literature on bubbles, with significant attention given behavioral models and rational frictions.Unlike the standard models, new is able model common characteristics historical bubble episodes offer insights for how are initiated sustained, reasons they burst, why arbitrage forces not routinely step squash them.The latest U.S. real estate described context this literature.
We document that stocks experience sudden increases in idiosyncratic volatility underperform otherwise similar the future, and we propose this phenomenon can be explained by Miller conjecture [Miller E (1977) Risk, uncertainty, divergence of opinion. J. Finance 32(4):1151–1168]. show shocks traced to unusual firm-level news flow, which temporarily level investor disagreement about firm value. At same time, pose a barrier short selling, preventing pessimistic investors from expressing their...
We present evidence of inefficient information processing in equity markets by documenting that biases analysts' earnings forecasts are reflected stock prices. In particular, we show investors fail to fully account for optimistic bias associated with analyst disagreement. This arises two reasons. First, analysts issue more when uncertain. Second, sufficiently low expectations who choose keep quiet introduce an the mean reported forecast is increasing underlying Indicators missing negative...
This study demonstrates that the U.S. equity premium has declined significantly during last three decades. The calculates using a variation of formula in classic Gordon stock valuation model. calculation includes bond yield, dividend and expected growth rate, which this formulation can change over time. for several measures aggregate portfolio assumptions about yields dividends gets basically same result. averaged 7 percentage points 1926–70 only 0.7 point after that. result is shown to be...
We present evidence of inefficient information processing in equity markets by documenting that negative withheld securities analysts is reflected stock prices with a significant delay. estimate the extent based on proportion who stop revising their annual earnings forecasts. This measure predicts surprises and price reaction around announcements. It could also be used to generate profitable trading strategies. show institutions tend sell holdings as our unreported news increases, thus...
Using unique data on real estate transactions, we construct nominal and CPI adjusted hedonic price indices for Manhattan from 1920 to 1939. The index falls during the recession that followed WWI, rises a local peak in 1926 declines again following collapse of Florida bubble. It subsequently recovers reach its highest value late 1929 before falling by 74 percent at end 1932 hovering around until A typical property bought beginning would have retained only 41 initial two decades later. stock...
We investigate the determinants of mutual fund manager career outcomes. find that, although outcomes are largely determined by past performance, measured returns and flows, personal attributes also factor in. All else equal, female managers less likely to be promoted have shorter tenures than male managers. This finding applies a greater extent women who co-manage funds with other managers, which suggests that working in teams negatively affects women's careers when compared men's. Moreover,...
Abstract Behavioural models offer new insights into why bubbles are ubiquitous in residential real estate markets. These markets dominated by unsophisticated households who often develop optimistic views extrapolating from past returns. Rational investors cannot easily trade against an overvaluation of housing assets because high transaction costs and a binding short sale constraint. Circumventing the effect latter, supply frequently increases response to rising prices. This helps mitigate...
We classify a unique and comprehensive dataset of corporate press releases into topics study the market reaction to various types news. While confirming prior findings regarding strong stock price responses financial news, we also document significant reactions news about strategy, customers partners, products services, management changes, legal developments. Consistent with regulators' expectations, level informational asymmetry in declines following most releases. At same time, return...