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Information Uncertainty and Stock Returns
16 references·16 citing·28 second hopsampled
Information Uncertainty and Stock Returns (2004)Information Uncertainty and Stock ReturnsErrors in Estimating Accruals: Implications for Empirical Research (2002)Errors in Estimating Accruals…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Disclosure level and the cost of equity capital. (1997)Disclosure level and the cost…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Corporate Disclosure Policy and Analyst Behavior. (1996)Corporate Disclosure Policy a…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Disclosure, Liquidity, and the Cost of Capital (1991)Disclosure, Liquidity, and th…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…A model of investor sentiment /A model of investor sentiment…Nonlocal Disadvantage: An Examination of Social Media Sentiment (2017)Nonlocal Disadvantage: An Exa…Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies (2016)Investor sentiment, limits on…Lottery-Related Anomalies: The Role of Reference-Dependent Preferences (2015)Lottery-Related Anomalies: Th…Expected Skewness and Momentum (2015)Expected Skewness and MomentumThe change in information uncertainty and acquirer wealth losses (2012)The change in information unc…Socially Responsible Funds and Market Crises (2012)Socially Responsible Funds an…Linguistic Tone in Earnings Announcements: News or Noise? (2011)Linguistic Tone in Earnings A…Why Do EPS Forecast Error and Dispersion Not Vary with Scale? Implications for Analyst and Managerial Behavior (2010)Why Do EPS Forecast Error and…Soft Information in Earnings Announcements: News or Noise? (2010)Soft Information in Earnings …Dissecting the Profitability Premium (2010)Dissecting the Profitability …Accounting Quality, Stock Price Delay and Future Stock Returns (2009)Accounting Quality, Stock Pri…The Implied Cost of Capital: A New Approach (2008)The Implied Cost of Capital: …The Effect of Information Quality on Liquidity Risk (2008)The Effect of Information Qua…Book-Tax Differences, Uncertainty about Fundamentals and Information Quality, and Cost of Capital (2008)Book-Tax Differences, Uncerta…R2 and Price Inefficiency (2007)R2 and Price InefficiencyInformation Uncertainty and Analyst Forecast Behavior (2005)Information Uncertainty and A…Coefficient Alpha and the Internal Structure of Tests (1951)The Cross-Section of Expected Stock Returns (1992)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The economic implications of corporate financial reporting (2005)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Specification Tests in Econometrics (1978)Cross-Sectional Determinants of Analyst Ratings of Corporate Disclosures (1993)Why Firms Voluntarily Disclose Bad News (1994)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1991Disclosure, Liquidity, and the Cost of Capital3,828 cited
  • 1997Disclosure level and the cost of equity capital.3,577 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1996Corporate Disclosure Policy and Analyst Behavior.2,743 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited

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  • 2002Errors in Estimating Accruals: Implications for Empirical Research1,683 cited
  • Cited by

    • 2010Why Do EPS Forecast Error and Dispersion Not Vary with Scale? Implications for Analyst and Managerial Behavior129 cited
    • 2010Soft Information in Earnings Announcements: News or Noise?123 cited
    • 2011Linguistic Tone in Earnings Announcements: News or Noise?71 cited
    • 2009Accounting Quality, Stock Price Delay and Future Stock Returns69 cited
    • 2010Dissecting the Profitability Premium60 cited
    • 2008The Implied Cost of Capital: A New Approach51 cited
    • 2015Lottery-Related Anomalies: The Role of Reference-Dependent Preferences49 cited
    • 2017Nonlocal Disadvantage: An Examination of Social Media Sentiment48 cited
    • 2012The change in information uncertainty and acquirer wealth losses45 cited
    • 2005Information Uncertainty and Analyst Forecast Behavior45 cited
    • 2007R2 and Price Inefficiency43 cited
    • 2012Socially Responsible Funds and Market Crises43 cited
    • 2016Investor sentiment, limits on arbitrage, and the performance of cross-country stock market anomalies39 cited
    • 2008The Effect of Information Quality on Liquidity Risk35 cited
    • 2008Book-Tax Differences, Uncertainty about Fundamentals and Information Quality, and Cost of Capital34 cited
    • 2015Expected Skewness and Momentum34 cited