منابع مشابه
Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns
Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal r...
متن کاملExpectations of Returns and Expected Returns
We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence i...
متن کاملCorrelated Trading and Returns
A German broker’s clients place similar speculative trades and therefore tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Aggregate liquidity effects, short sale constraints, the systematic execution of limit orders (coordinated through price movements) or the correlated trading of other investors who pick off retail limit orders do not fu...
متن کاملTrading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange
This paper tries to find a widely accessible measure of liquidity and studies its impact on asset pricing. Using trading turnover as a measure of liquidity and the 19761993 Tokyo Stock Exchange data, I find that, cross-sectionally, stocks with higher turnover tend to have a lower expected return. This evidence is consistent with predictions derived from an Amihud-Mendelson type of transaction c...
متن کاملRationalizing Trading Frequency and Returns
Barber and Odean (2000) study the relationship between trading frequency and returns. They find that households who trade more frequently have a lower net return than other households. But all households have about the same gross return. They argue that these results cannot emerge from a model with rational traders and instead attribute these findings to overconfidence. Using a dynamic optimiza...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2193733