Journal of Financial Economics
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A Model of Investor Sentiment [статья]
Опубликовано на портале: 03-12-2007Nicholas 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: 16-11-2007Eugene 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: 02-10-2003Michael 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: 03-10-2003Myeong-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.