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Information Uncertainty and the Post-Earnings-Announcement Drift Anomaly: Insights from REITs
16 references·3 citing·36 second hop
Information Uncertainty and the Post-Earnings-Announcement Drift Anomaly: Insights from REITs (2010)Information Uncertainty and the Post-Earn…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…Information Uncertainty and Stock Returns (2006)Information Uncertainty and S…The economic implications of corporate financial reporting (2005)The economic implications of …Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)Overconfidence, Arbitrage, an…Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…The Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Further Evidence On Investor …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Empirical Evaluation of Accounting Income Numbers (1968)An Empirical Evaluation of Ac…Distress Risk and Stock Returns on Equity REITs (2020)Distress Risk and Stock Retur…Do Investors Infer Vocal Cues from CEOS During Quarterly REIT Conference Calls? (2016)Do Investors Infer Vocal Cues…REIT Auditor Fees and Financial Market Transparency (2009)REIT Auditor Fees and Financi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Using daily stock returns (1985)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (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)On Persistence in Mutual Fund Performance (1997)Common risk factors in the returns on stocks and bonds (1993)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)Continuous Auctions and Insider Trading (1985)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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Illiquidity and stock returns: cross-section and time-series effects (2002)Earnings Management During Import Relief Investigations (1991)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The theory and practice of corporate finance: evidence from the field (2001)Earnings Management through Real Activities Manipulation (2003)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)Voluntary Nonfinancial Disclosure and the Cost of Equity Capital: The Initiation of Corporate Social Responsibility Reporting (2010)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Who Gambles in the Stock Market? (2009)Multifactor Explanations of Asset Pricing Anomalies (1996)
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References

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1,810 cited
  • 2001Overconfidence, Arbitrage, and Equilibrium Asset Pricing951 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
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    • 2020Distress Risk and Stock Returns on Equity REITs30 cited
    • 2016Do Investors Infer Vocal Cues from CEOS During Quarterly REIT Conference Calls?30 cited
    • 2009REIT Auditor Fees and Financial Market Transparency27 cited