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Do analysts really anchor? Evidence from credit risk and suppressed negative information
16 references·0 citing·23 second hopsampled
Do analysts really anchor? Evidence from credit risk and suppressed negative information (2018)Do analysts really anchor? Evidence from …In Search of Distress Risk (2008)In Search of Distress RiskComparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts (2006)Comparing the Post-Earnings A…Financial Analyst Characteristics and Herding Behavior in Forecasting (2005)Financial Analyst Characteris…Default Risk in Equity Returns (2004)Default Risk in Equity ReturnsIlliquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Book‐to‐Market Equity, Distress Risk, and Stock Returns (2002)Book‐to‐Market Equity, Distre…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Is the Risk of Bankruptcy a Systematic Risk? (1998)Is the Risk of Bankruptcy a S…Self-Selection and Analyst Coverage (1997)Self-Selection and Analyst Co…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Industry costs of equity (1997)Industry costs of equityReturns 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…Measuring abnormal performance (1992)Measuring abnormal performanceRisk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)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)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1974)An Engine, Not a Camera (2006)Information Uncertainty and Stock Returns (2006)Advances in prospect theory: Cumulative representation of uncertainty (1992)Forecasting Default with the Merton Distance to Default Model (2008)The Pricing of Options and Corporate Liabilities (1973)Credit Spreads and Business Cycle Fluctuations (2012)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachMedia Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 1997Industry costs of equity5,793 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,445 cited
  • 2008In Search of Distress Risk2,232 cited
  • 2002Differences of Opinion and the Cross Section of Stock Returns2,145 cited
  • 2004Default Risk in Equity Returns1,997 cited
  • 1998Is the Risk of Bankruptcy a Systematic Risk?1,002 cited
  • 1997Self-Selection and Analyst Coverage968 cited
  • 2005Financial Analyst Characteristics and Herding Behavior in Forecasting909 cited
  • 1992Measuring abnormal performance840 cited
  • 2002Book‐to‐Market Equity, Distress Risk, and Stock Returns778 cited
  • 2006Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts

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