L. Fisher, Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves: Discussion, The Journal of Finance, Vol. 37, No. 2, Papers and Proceedings of the Fortieth Annual Meeting of the American Finance Association, Washington, D.C., December 28-30, 1981 (May, 1982), pp. 352-354

ABSTRACT We study how competition in the product market affects the link between firms' real investment decisions and their asset return dynamics. In our model, assets in place and growth options have different sensitivities to market wide uncertainty. The strategic behavior of market participants influences the relative importance of these components of firm value. We show that the relationship between the degree of competition and assets' expected rates of return varies with product market demand. When demand is low, firms in more competitive industries earn higher returns, whereas when demand is high firms in more concentrated industries earn higher returns.

An analysis of stock and sell recommendations by security analysts at fourteen major U.S. brokerage firms shows significant, systematic discrepancies between prices and eventual values, in contrast to the conclusions of many previous studies. The average initial price change at the time of the recommendations is large, even though few recommendations coincide with other public information releases or provide previously unavailable facts. These price changes which are then ostensibly due primarily to information processing and dissemination are consistent with the expanded Grossman and Stiglitz (1980) definition of market efficiency where informed investors earn a return on their information gathering and processing efforts. Furthermore, these initial price reactions are incomplete. Post-recommendation risk-adjusted price drift implies that analysts' recommendations provide tradable value for investors. For recommendations, the mean, post-event drift is modest (+2.4%) and short-lived (one month), but for sell recommendations, the drift is larger (-9.1%), accruing over a longer six-month interval. Analysts appear to have market timing as well as stock picking abilities. Also, accurate industry predictions appear to be an important component for pessimistic recommendations (sell and removed from buy ) but not for optimistic ones (buy and removed from sell).

An analysis of new buy and sell recommendations of stocks by security analysts at major U.S. brokerage firms shows significant, systematic discrepancies between prerecommendation prices and eventual values. The initial return at the time of the recommendations is large, even though few recommendations coincide with new public news or provide previously unavailable facts. However, these initial price reactions are incomplete. For buy recommendations, the mean postevent drift is modest (+2.4 percent) and short-lived, but for sell recommendations, the drift is larger (-9.1 percent) and extends for six months. Analysts appear to have market timing and stock picking abilities.

ABSTRACT An analysis of new buy and sell recommendations of stocks by security analysts at major U.S. brokerage firms shows significant, systematic discrepancies between prerecommendation prices and eventual values. The initial return at the time of the recommendations is large, even though few recommendations coincide with new public news or provide previously unavailable facts. However, these initial price reactions are incomplete. For buy recommendations, the mean postevent drift is modest (+2.4%) and short‐lived, but for sell recommendations, the drift is larger (−9.1%) and extends for six months. Analysts appear to have market timing and stock picking abilities.

Using a database that is free of survivorship bias, this article finds that book-to-market equity, earnings yield, and cash flow yield have significant explanatory power with respect to the cross-section of realized stock returns during the period from July 1940 through June 1963. There is a strong January seasonal in the explanatory power of these variables, even though small stocks are, by construction, excluded from the sample.

Numerous empirical studies document patterns in the means and variances of security returns measured over periods that are punctuated by market closures. This article develops a multiperiod model in which closures delay the resolution of uncertainty, thereby redistributing risk across time and agents. Since agents are risk averse in the model, this redistribution affects the equilibrium price, altering risk premia, liquidity costs, and the degree of informational asymmetry. As a consequence, closures alter both the means and variances of returns. The article demonstrates that closures can generate a variety of mean and variance effects, including those that mirror the empirical phenomena.