منابع مشابه
Days to Cover and Stock Returns∗
A crowded trade problem emerges when speculators’ positions are large relative to the liquidity of the asset, thereby making exit difficult. We study this problem, which has been a point of concern in the Dodd Frank Financial Reforms regarding systemic risk, through the lens of short-selling. We show in a simple model that days to cover (DTC), the ratio of short interest to trading volume, meas...
متن کاملInflexibility and Stock Returns
Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms’ risk and expected return. In a neoclassical model of a firm with costly scale adjustment options, we show that the effect of scale flexibility (i.e., contraction and expansion options) is to determine the relation between risk and operating leverage: risk increases with operating leverage f...
متن کاملDemographics , Stock Market Flows , and Stock Returns ∗
This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...
متن کاملInternet Stock Message Boards and Stock Returns
During 1999-2001 more than 35 million messages about public firms were posted on Yahoo! Finance. This paper examines whether stocks with high posting levels also have unusual subsequent returns and/or risk. They do. Stocks with the highest level of posting have unusually high realized volatility and unusually poor subsequent returns. This remains true after accounting for the effects of the mar...
متن کاملExpectations Management and Stock Returns
We show that proxies for firms’ incentives to manage earnings expectations toward beatable levels contain strong predictive power for earnings announcement returns. Firms with stronger incentives to manage expectations predictably underperform before, and subsequently outperform during, their expected earnings announcement months. This predictable V-shaped pattern in prices yields strategy retu...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2568768