Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 11 of 11 for “"underreaction"”.
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Examination of long-run performance of momentum portfolios: Implications for the sources and profitability of momentum
… with the notion that loser momentum is an underreaction to negative news and suggests investors hold on to losers for too long. The lack of reversal for losers departs from prior studies whose findings are driven by the use of monthly rebalanced portfolio. Rebalancing cumulates an upward …
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Essays on the Role of Informed Trading in Stock Markets
… It proposes that if momentum is a result of underreaction and if informed trading identifies stocks with underreaction, the presence of informed trading predicts future momentum effect. Consistently, the empirical results show that momentum effect arises when informed trading is present. …
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An Essay on Cash Flows in Finance
… continuous information leads to initial investor underreaction, subsequent overreaction, and eventual correction. I highlight the important role of the information environment in reflecting the fundamental sources of anomaly returns.
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Development of an econometric model for dynamic management of recession risk in equity portfolios : construction of an empirical measure of time-varying recession risk : estimation of cross-sectional differences in recession risk exposure among equities and associated differences in risk premia
… performance benefiting from the market underreaction to recession risk.
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The effects of research and development expenditure on long-term stock returns: an analysis of the BRICS nations
… R&D, consistent with the phenomenon of investor underreaction, and therefore presents an opportunity for market participants to earn abnormal returns by investing in BRICS companies engaged in R&D.
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Shifts in Political Environment and Industry Momentum: Evidence from Global Stock Markets
… the results support the theory that investor underreaction to political information generates momentum. In other countries in which the pattern cannot explain momentum returns, I attempt to provide a new conjecture.
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The Impact of Information Uncertainty on Stock Price Performance and Managers' Equity Financing Decision
… effect between information uncertainty and underreaction anomaly in UK stock market. The empirical evidence is consistent with behavioral finance theory that stocks with higher information uncertainty have greater abnormal adjusted returns, especially following bad news. Chapter 4 further …
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Return Predictability Conditional on the Characteristics of Information Signals
… For these news events, we also find that the underreaction is greater for positive (negative) event firms that underperformed (overperformed) the market in the prior period, earning 20-day post-event abnormal returns of 4.85% (-3.50%). This evidence is consistent with the Barberis, Shleifer, …
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Systematic Liquidity Risk and Stock Price Reaction to Large One-Day Price Changes: Evidence from London Stock Exchange.
… nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the …
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Two Essays on Momentum and Reversals in Stock Returns
… initial price continuation, suggesting that underreaction, and not delayed overreaction to information, is the dominant source of momentum in stock returns. In the second essay, I examine alternative explanations of reversals in stock returns. George and Hwang (2007) find that long-term …
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Essays in Household and Behavioral Finance
… at longer horizons, independently of over-/underreaction. Finally, we demonstrate that a parsimonious model with bounded rationality and a noisy cognitive default matches the term structures of noise and bias jointly.