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Suppressed Negative Information and Future Underperformance
16 references·10 citing·27 second hop
Suppressed Negative Information and Future Underperformance (2007)Suppressed Negative Information and Futur…Differences of Opinion and the Cross Section of Stock Returns (2002)Differences of Opinion and th…Toward an Implied Cost of Capital (2001)Toward an Implied Cost of Cap…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Conflict of Interest and the Credibility of Underwriter Analyst Recommendations (1999)Conflict of Interest and the …Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Using daily stock returns (1985)Using daily stock returnsContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…A model of investor sentiment /A model of investor sentiment…Pervasive underreaction: Evidence from high-frequency data (2021)Pervasive underreaction: Evid…Open Source Cross-Sectional Asset Pricing (2021)Open Source Cross-Sectional A…Rationalizing Forecast Inefficiency (2020)Rationalizing Forecast Ineffi…Do analysts really anchor? Evidence from credit risk and suppressed negative information (2018)Do analysts really anchor? Ev…Do Investors Fully Unravel Persistent Pessimism in Analysts' Earnings Forecasts? (2017)Do Investors Fully Unravel Pe…Unusual News Flow and the Cross Section of Stock Returns (2016)Unusual News Flow and the Cro…Disagreement, Underreaction, and Stock Returns (2016)Disagreement, Underreaction, …Short Selling Around Restatement Announcements (2015)Short Selling Around Restatem…Asset Price Bubbles: A Survey (2011)Asset Price Bubbles: A SurveyThe Value of Research (2008)The Value of ResearchCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)The Pricing of Options and Corporate Liabilities (1973)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)An Empirical Evaluation of Accounting Income Numbers (1968)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1975)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)On Persistence in Mutual Fund Performance (1997)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Investor Psychology and Asset Pricing (2001)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 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
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Using daily stock returns6,497 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,865 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
  • 2002Differences of Opinion and the Cross Section of Stock Returns

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2,145 cited
  • 2001Toward an Implied Cost of Capital2,004 cited
  • 1999Conflict of Interest and the Credibility of Underwriter Analyst Recommendations1,549 cited
  • Cited by

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    • 2016Disagreement, Underreaction, and Stock Returns59 cited
    • 2016Unusual News Flow and the Cross Section of Stock Returns51 cited
    • 2017Do Investors Fully Unravel Persistent Pessimism in Analysts' Earnings Forecasts?43 cited
    • 2015Short Selling Around Restatement Announcements42 cited
    • 2021Open Source Cross-Sectional Asset Pricing40 cited
    • 2008The Value of Research26 cited
    • 2020Rationalizing Forecast Inefficiency21 cited
    • 2018Do analysts really anchor? Evidence from credit risk and suppressed negative information19 cited