Journal of Financial Economics
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A Model of Investor Sentiment [статья]
Опубликовано на портале: 03-12-2007
Nicholas Barberis, Andrei Shleifer, Robert W. Vishny
Journal of Financial Economics.
1998.
Vol. 49.
No. 3.
P. 307-343.
Recent empirical research in finance has uncovered two families of pervasive regularities:
underreaction of stock prices to news such as earnings announcements, and overreaction
of stock prices to a series of good or bad news. In this paper, we present a parsimonious
model of investor sentiment, or of how investors form beliefs, which is consistent
with the empirical findings. The model is based on psychological evidence and produces
both underreaction and overreaction for a wide range of parameter values
Опубликовано на портале: 16-11-2007
Eugene F. Fama
Journal of Financial Economics.
1998.
Vol. 49.
P. 283-306.
Market effciency survives the challenge from the literature on long-term return
anomalies. Consistent with the market e¦ciency hypothesis that the anomalies
are
chance results, apparent overreaction to information is about as common as underreaction,
and post-event continuation of pre-event abnormal returns is about as frequent as
post-event reversal. Most important, consistent with the market effciency prediction
that
apparent anomalies can be due to methodology, most long-term return anomalies tend
to
disappear with reasonable changes in technique
Опубликовано на портале: 02-10-2003
Michael J. Barclay, Neil D. Pearson, Michael Steven Weisbach
Journal of Financial Economics.
1998.
Vol. 49.
No. 1.
P. 3-43.
Despite the fact that taxable investors would prefer to defer the realization of
capital gains indefinitely, most open-end mutual funds regularly realize and distribute
a large portion of their gains. We present a model in which unrealized gains in the
fund's portfolio increase expected future taxable distributions, and thus increase
the present value of a new investor's tax liability. In equilibrium, managers interested
in attracting new investors pass through taxable capital gains to reduce the overhang
of unrealized gains. This model contains a number of empirical predictions that are
consistent with data on actual fund overhangs.
Опубликовано на портале: 03-10-2003
Myeong-Hyeon Cho
Journal of Financial Economics.
1998.
Vol. 47.
No. 1.
P. 103-121.
This paper examines the relation among ownership structure, investment, and corporate
value, focusing on whether ownership structure affects investment. Ordinary least
squares regression results suggest that ownership structure affects investment and,
therefore, corporate value. However, simultaneous regression results indicate that
the endogeneity of ownership may affect these inferences, suggesting that investment
affects corporate value which, in turn, affects ownership structure. The evidence
shows that corporate value affects ownership structure, but not vice versa. These
findings raise questions regarding the assumption that ownership structure is exogenously
determined, and bring into question the results in studies that treat ownership structure
as exogenous.
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