This paper analyses the general equilibrium effects on asset valuation and capital accumulation of an exogenous drop in the rate of return required by investors in a model of production with imperfectly competitive product markets. The model improves substantially on the standard perfectly competitive neo-classical framework, by dissociating the behavior of marginal and average q. It tracks mor...

Open-market repurchases reduce the supply of a stock’s shares in the market. Japanese stock repurchase data allows us to successfully isolate the supply effect from information effects of the stock repurchase. We focus on stock price behavior during the actual repurchase period when no new information is released and find that the excess stock returns are significantly positive only during actu...

In this paper the scale mixture of Gaussian distribution is used to model the stock return data in financial market. There are many volatility models and forecasting methods. Some of the models are Historical volatility models, Implied volatility models, Autoregressive Conditional Heteroskedasticity models, models based on Artificial Neural Network. All these models are direct models. In these ...

Investigating various corporate announcements and abnormal return days, I observe that around 2% of daily trading volume decreases only before scheduled earnings announcements. This empirical pattern is robust across different specifications and periods. Also, proxies of ex ante information asymmetry are consistently related to the trading volume only before scheduled earnings announcements. Th...

The classical APT model is of the form j j j j EI I r E r ε β + − = − ) ( ) ( , where ) ( j j r E r − is the earning deviation (called basic variance-profit) of the security I j, is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage pricing model as follows j j j ...

Analyzing a large sample of U.S. firms, we show that the asymmetry of stock return volatility is positively related to investor attention and differences of opinion. Using the number of analysts following a given firm to capture attention and the dispersion in analyst forecasts as a common proxy for differences of opinion, we show that the two effects are complementary. Furthermore, the effect ...

This paper shows that the diversification choices of individual investors influence stock returns. A zero-cost portfolio that takes a long (short) position in stocks with the least (most) diversified individual investor clientele generates an annual, risk-adjusted return of 5–9%. This spread reflects the combined effects of sentiment-induced mispricing, narrow risk framing, and asymmetric infor...

Using the Dow Jones Industrial Average Index record breaking days as a proxy for market wide attention, we show that as the aggregate stock market intensifies investor attention, stock market response to individual firms’ earnings announcements significantly increases. We hypothesize that there are many channels for the attention spill-over effect and document strong supportive evidence of one ...

Previous work by has shown that lumpy investment models well characterize individual expenditures on durables, in particular automobiles. In that class of models, a higher level of uncertainty generally implies that the household should tolerate a larger imbalance between the actual stock of the durable and the target stock before closing it by buying and/or selling. Then, if the level of uncer...

This study explores the role of investor sentiment in the pricing of a broad set of macro-related risk factors. Economic theory suggests that pervasive factors (such as TFP and consumption growth) should be priced in the cross-section of stock returns. However, when we form portfolios based directly on their exposure to macro factors, we find that portfolios with higher risk exposure do not ear...