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Is the U.S. Stock Market Myopic?
16 references·16 citing·37 second hopsampled
Is the U.S. Stock Market Myopic? (2000)Is the U.S. Stock Market Myopic?Abnormal returns to a fundamental analysis strategy. (1998)Abnormal returns to a fundame…Measuring long-horizon security price performance (1997)Measuring long-horizon securi…Detecting long-run abnormal stock returns: The empirical power and specification of test statistics (1997)Detecting long-run abnormal s…Earnings, Book Values, and Dividends in Equity Valuation* (1995)Earnings, Book Values, and Di…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior (1992)Tests of Analysts' Overreacti…Capital disadvantage: America's failing capital investment system. (1992)Capital disadvantage: America…Do analysts' earnings forecasts incorporate information in prior stock price changes? (1991)Do analysts' earnings forecas…Evidence that stock prices do not fully reflect the implications of current earnings for future earnings (1990)Evidence that stock prices do…Do Security Analysts Overreact (1990)Do Security Analysts OverreactCorporate research and development expenditures and share value (1990)Corporate research and develo…Efficient Capital Markets, Inefficient Firms: A Model of Myopic Corporate Behavior (1989)Efficient Capital Markets, In…Corporate capital expenditure decisions and the market value of the firm (1985)Corporate capital expenditure…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…The Theory and Measurement of Business Income (1961)The Theory and Measurement of…Annual Survey of Economic Theory: The Theory of Depreciation (1938)Annual Survey of Economic The…Are U.S. firms becoming more short‐term oriented? Evidence of shifting firm time horizons from implied discount rates, 1980–2013 (2020)Are U.S. firms becoming more …What do accruals tell us about future cash flows? (2016)What do accruals tell us abou…Debt-equity choices, R&D investment and market timing (2016)Debt-equity choices, R&D inve…Opportunistic disclosure in press release headlines (2012)Opportunistic disclosure in p…Ethical Corporate Citizenship: Does it Pay? (2011)Ethical Corporate Citizenship…Does brand management of corporate reputation translate into higher market value? (2010)Does brand management of corp…Do Analysts Practice What They Preach and Should Investors Listen? Effects of Recent Regulations (2009)Do Analysts Practice What The…The Credibility of Voluntary Disclosure and Insider Stock Transactions (2007)The Credibility of Voluntary …An Empirical Test of the Accounting‐Based Residual Income Model and the Traditional Dividend Discount Model (2005)An Empirical Test of the Acco…Pump and Dump: An Empirical Analysis of the Relation between Corporate Financing Activities and Sell-Side Analyst Research (2003)Pump and Dump: An Empirical A…Earnings Management in Response to the Introduction of the Australian Gold Tax* (2003)Earnings Management in Respon…The Impact of Taxes on Corporate Defined Benefit Plan Asset Allocation (2002)The Impact of Taxes on Corpor…Modeling Sustainable Earnings and P/E Ratios with Financial Statement Analysis (2002)Modeling Sustainable Earnings…The explanatory and predictive power of different specifications of the Ohlson (1995) valuation models (2001)The explanatory and predictiv…The Accuracy and Bias of Equity Values Inferred from Analysts' Earnings Forecasts (2001)The Accuracy and Bias of Equi…Equity Valuation Employing the Ideal versus Ad Hoc Terminal Value Expressions (2001)Equity Valuation Employing th…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Editor's Choice Digesting Anomalies: An Investment ApproachMean reversion in stock prices (1988)Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)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)Investor Psychology and Asset Pricing (2001)Job Market Signaling (1973)Corporate financing and investment decisions when firms have information that investors do not have (1984)Dividend Policy under Asymmetric Information (1985)A Survey of Corporate Governance (1997)Corporate Governance and Equity Prices (2003)The economic implications of corporate financial reporting (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)Does the Stock Market Overreact? (1985)Further Evidence On Investor Overreaction and Stock Market Seasonality (1987)Evidence of Predictable Behavior of Security Returns (1990)The Geography of Equity Analysis (2005)Profitability, investment and average returns (2006)The Disposition Effect and Underreaction to News (2006)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)Using daily stock returns (1985)Introductory Econometrics for Finance (2008)A Resource-Based Framework for Assessing the Strategic Advantages of Family Firms (1999)Transforming the Balanced Scorecard from Performance Measurement to Strategic Management: Part I (2001)Does the stock market fully value intangibles? Employee satisfaction and equity prices (2011)Valuation and Clean Surplus Accounting for Operating and Financial Activities* (1995)Capital markets research in accounting (2001)Uniformly least powerful tests of market efficiency (2000)Short-sellers, fundamental analysis, and stock returns (2001)Econometrics of Event Studies**We thank Espen Eckbo, Jon Lewellen, Adam Kolasinski, and Jay Ritter for insightful comments, and Irfan Safdar and Alan Wancier for research assistance. (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1995Earnings, Book Values, and Dividends in Equity Valuation*5,061 cited
  • 1997Detecting long-run abnormal stock returns: The empirical power and specification of test statistics2,690 cited
  • 1989Efficient Capital Markets, Inefficient Firms: A Model of Myopic Corporate Behavior2,585 cited
  • 1990Evidence that stock prices do not fully reflect the implications of current earnings for future earnings2,010 cited
  • 1992Capital disadvantage: America's failing capital investment system.1,148 cited
  • 1992Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior1,003 cited
  • 1997Measuring long-horizon security price performance991 cited
  • 1961The Theory and Measurement of Business Income970 cited
  • 1985Corporate capital expenditure decisions and the market value of the firm861 cited
  • 1990Do Security Analysts Overreact685 cited
  • 1990Corporate research and development expenditures and share value649 cited
  • 1998Abnormal returns to a fundamental analysis strategy.512 cited
  • 1991Do analysts' earnings forecasts incorporate information in prior stock price changes?

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471 cited
  • 1938Annual Survey of Economic Theory: The Theory of Depreciation329 cited
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