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Investor Corporate Visits and Predictable Returns
16 references·1 citing·31 second hopsampled
Investor Corporate Visits and Predictable Returns (2025)Investor Corporate Visits and Predictable…It Depends on Where You Search: Institutional Investor Attention and Underreaction to News (2017)It Depends on Where You Searc…A five-factor asset pricing model (2014)A five-factor asset pricing m…In Search of Attention (2011)In Search of AttentionDo Managers Withhold Bad News? (2008)Do Managers Withhold Bad News?The Geography of Equity Analysis (2005)The Geography of Equity Analy…Analyst Forecast Revisions and Market Price Discovery (2003)Analyst Forecast Revisions an…Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic-Based Benchmarks (1997)Measuring Mutual Fund Perform…Good News for Value Stocks: Further Evidence on Market Efficiency (1997)Good News for Value Stocks: F…Momentum Strategies (1996)Momentum StrategiesReturns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Measuring abnormal performance (1992)Measuring abnormal performanceAn Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989)Post-Earnings-Announcement Dr…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Can star analysts make superior coverage decisions in poor information environment? (2022)Can star analysts make superi…An Empirical Evaluation of Accounting Income Numbers (1968)Transaction costs and the small firm effect (1983)The effect of bond rating changes on common stock prices (1986)Efficient Capital Markets: II (1991)Contrarian Investment, Extrapolation, and Risk (1994)Investor Psychology and Security Market Under‐ and Overreactions (1998)Outside directors and CEO turnover (1988)Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature (2001)The economic implications of corporate financial reporting (2005)Opaque financial reports, R2, and crash risk☆ (2009)The financial reporting environment: Review of the recent literature (2010)Corporate tax avoidance and stock price crash risk: Firm-level analysis (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Carbon Tail Risk (2018)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Editor's Choice Digesting Anomalies: An Investment ApproachDigesting Anomalies: An Investment Approach (2012)Empirical Asset Pricing via Machine Learning (2020)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 2014A five-factor asset pricing model8,065 cited
  • 2011In Search of Attention3,124 cited
  • 1997Measuring Mutual Fund Performance with Characteristic-Based Benchmarks2,844 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 1989Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?2,314 cited
  • 2008Do Managers Withhold Bad News?2,191 cited
  • 1996Momentum Strategies1,491 cited
  • 2005The Geography of Equity Analysis913 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 1992Measuring abnormal performance840 cited
  • 1997Good News for Value Stocks: Further Evidence on Market Efficiency805 cited
  • 2003Analyst Forecast Revisions and Market Price Discovery772 cited
  • 2017It Depends on Where You Search: Institutional Investor Attention and Underreaction to News

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  • 2022Can star analysts make superior coverage decisions in poor information environment?17 cited