研究成果 Social Proximity to Capital: Implications for Investors and Firms with Theresa Kuchler, Lin Peng, Johannes Stroebel, and Dexin Zhou Review of Financial studies,Forthcoming Anomalies and the Expected Market Return with...
We provide the first systematic evidence on the link between long﹕hort anomaly portfolio returns—a cornerstone of the cross﹕ectional literature—and the time﹕eries predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a variety of ...
1.1 研究背景 股票收益的可预测性一直是金融研究的重要领域,该领域的两大主要分支为:(1)利用公司特征,预测股票回报的截面差异;(2)市场超额收益率的时间序列的可预测性,文章研究了这两大分支之间的关联性。 1.2 研究内容 文章综合了已有股票收益可预测性的研究,通过理论分析和实证检验,论证了根据异象构造的套利组合...
The return equals total future dividends divided by the current market capitalization since the asset supply is constant over time in our model. Reasonable means that aggregate dividend growth and the size of dividend payments across assets lie in the range reported by Chen (2009) and DeAngelo et...
consistent with many anomalies, including the relations of future stock returns with market-to-book, investment and disinvestment rates, seasoned equity offerings, tender offers and stock repurchases, dividend omissions and initiations, expected profitability, profitability, and more important, earnings ...
January, and for the smallest stocks February, returns are found to be significantly in excess of the expected. A tax-loss-selling hypothesis on the formation of January returns, incorporating the institutional feature that capital losses may only be deducted from capital gains, is supported by ...
Xing, and X. Zhang (2006). The cross-section of volatility and expected returns.Journal of Finance 61(1), 259 – 299. Ang, A., R. J. Hodrick, Y. Xing, and X. Zhang (2009). High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of ...
Market efficiency 1. Introduction Hou, Xue, and Zhang (2018) document that over 400 different anomalies explain the cross section of expected stock returns in the United States. The literature documents the predictability of some of these anomalies on international stock returns and other papers focu...
The Capital Asset Pricing Model (CAPM) has for a long time been used to explain the variations in expected return on stocks. However, the discoveries of market anomalies such as the Size, Book-to-Market and the Momentum effects, have gre... GK Riro,JM Wambugu - 《Iiste》 被引量: 4发...
Reversals also likely work in part because people expect them to work. If enough investors habitually sell last year's winners and buy last year's losers, that will help move the stocks in exactly the expected directions, making it something of a self-fulfilling anomaly. ...