Sinha, N. R., 2016, "Underreaction to News in the US Stock Market," Quarterly Journal of Finance, 6(2), 1650005.Sinha, N. R., 2011, "Underreaction to news in the US stock market," Unpublished working paper, Uni- versity of Illinois....
Momentum trading, mean reversal and overreaction in Chinese stock market The vast majority of the literature reports momentum profitability to be overwhelming in the US market and widespread in other countries. However, this pap... Y Wu - 《Review of Quantitative Finance & Accounting》 被引量: ...
Furthermore, the negative relation between left-tail risk and expected returns is robust to alternative measures of left-tail risk widely used in the risk management literature. We also provide evidence outside of the US equity market and test whether the anomaly is significant in an international...
PEAD is increasing in k if k(2 − kθ ) < 1, but decreasing in k if k(2 − kθ ) > 1. It is useful to characterize the degree of market underreaction (DMU) to earnings announcement as the proportion of the information content of earnings that stock price fails to impound ...
Atilgan, Demirtas, and Gunaydin (2020) re-examine the relation between systematic downside risk and returns in the US stock market and demonstrate the insignificance of systematic risk in predicting the future returns of the U.S. equities. A recent trend in financial market studies notes that ...
Chan, W.S.: Stock price reaction to news and no-news: drift and reversal after headline. J Financ Econ 70, 223–260 (2003) Google Scholar Chateauneuf, A., Eichberger, J., Grant, S.: Choice under uncertainty with the best and worst in mind: neo-additive capacities. J Econ Theory ...
Momentum trading, mean reversal and overreaction in Chinese stock market The vast majority of the literature reports momentum profitability to be overwhelming in the US market and widespread in other countries. However, this pap... Y Wu - 《Review of Quantitative Finance & Accounting》 被引量: ...
We document evidence of an underreaction to management forecast news, especially for good news forecasts. In the context of the post-earnings-announcement drift literature, our result suggests that the market also underreacts to voluntary earnings disclosures in the form of management forecasts. Most...
Momentum trading, mean reversal and overreaction in Chinese stock market The vast majority of the literature reports momentum profitability to be overwhelming in the US market and widespread in other countries. However, this pap... Y Wu - 《Review of Quantitative Finance & Accounting》 被引量: ...