This study examined the role of positive and negative discretionary accrual management in the stock price impact. A sample of 66 firms listed in Tehran Stock Exchange was selected for a ten-year period (2008-2017). Accrual management was found to lead to significant changes in stock prices, and uninformed investors incur trading costs caused by the stock price impact. The results showed two key...

In an exchange economy under uncertainty populated by multiple consumers, we how the heterogeneity in the individual consumers’ subjective beliefs affect the representative consumer’s utility function. We derive a formula that indicates that the more heterogeneous the individual consumers’ beliefs are, the higher probabilities the representative consumer’s belief attaches to extreme events that...

Despite the extensive advancement of knowledge in field empirical asset pricing, little is known about how this literature applies to classes beyond common stocks and bonds. In paper we apply recent developments financial economics, which posit an important role for limited market participation intermediaries, understanding real estate returns. The risk factors motivated by these theories have ...

We investigate changes in US market sentiment using structural break analysis over a period of five decades. show that investor was trending and nonstationary from 1965 to 2001, associated with numerous crashes. Since has been substantially more mean reverting, implying the diminished effect noise investors their mispricing. illustrate how these persistence affect equity anomalies assess predic...

Studies of financial market informational efficiency have proven burdensome in practice, because it is difficult to pinpoint when news breaks and known by some or all the participants. We overcome this designing a framework detect mispricing, test evaluate behavioural biases within high-frequency prediction markets. demonstrate using betting exchange data for association football, exploiting mo...

Abstract We study the mispricing information present in target prices of US and international analysts. hypothesize that asymmetry value-relevance managers supply to analysts, combined with incentives facing analysts curry favor managers, leads analyst-claimed undervaluation being more predictive future stock returns than overvaluation. Our empirical tests isolate by first removing analysts’ es...