A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
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Results 419 resources
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Zhang, X. F. (2006). Information Uncertainty and Stock Returns. The Journal of Finance, 61, 105–137.
There is substantial evidence of short‐term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross‐sectional variations in stock returns. If short‐term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good news and relatively lower expected returns following bad news. My evidence supports this hypothesis.
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When utility is nonseparable in nondurable and durable consumption and the elasticity of substitution between the two consumption goods is sufficiently high, marginal utility rises when durable consumption falls. The model explains both the cross‐sectional variation in expected stock returns and the time variation in the equity premium. Small stocks and value stocks deliver relatively low returns during recessions, when durable consumption falls, which explains their high average returns relative to big stocks and growth stocks. Stock returns are unexpectedly low at business cycle troughs, when durable consumption falls sharply, which explains the countercyclical variation in the equity premium.
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This article provides evidence of information transmission from the United States and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the United States, Japan, Korea, and Thailand. Using high-frequency intraday data, I find a large and significant association between developed-economy macroeconomic announcements and emerging-economy equity volatility and trading volume at short time horizons. Previous studies' findings of at most weak evidence of transmission from developed to emerging economies may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as a proxy for information. (JEL E44, G14, G15) Copyright 2006, Oxford University Press.
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Applying the Coase Theorem to marital bargaining suggests that shifting from consent to unilateral divorce laws will not affect divorce rates. I show that existing evidence suggesting large effects of divorce laws on divorce rates reflect a failure to explicitly model the dynamic response of divorce rates to a shock to the legal regime. When accounting for these dynamics, I find that unilateral divorce spiked following the adoption of unilateral divorce laws, but that this rise largely reversed itself within a decade. Overall, these changes in family law explain very little of the rise in divorce over the past half-century. (JEL C78, J12)
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We construct an index of firms' external finance constraints via generalized method of moments (GMM) estimation of an investment Euler equation. Unlike the commonly used KZ index, ours is consistent with firm characteristics associated with external finance constraints. Constrained firms' returns move together, suggesting the existence of a financial constraints factor. This factor earns a positive but insignificant average return. Much of the variation in this factor cannot be explained by the Fama–French and momentum factors. Cross-sectional regressions of returns on our index and other firm characteristics show that constrained firms earn higher returns and that the financial-constraints effect dominates the size effect. Copyright 2006, Oxford University Press.
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