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Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables

Citations

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Cited by:

  1. Liya Chu & Xue-Zhong He & Kai Li & Jun Tu, 2022. "Investor Sentiment and Paradigm Shifts in Equity Return Forecasting," Management Science, INFORMS, vol. 68(6), pages 4301-4325, June.
  2. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
  3. Aytekin Ertan & Stephen A. Karolyi & Peter W. Kelly & Robert Stoumbos, 2022. "Earnings announcement return extrapolation," Review of Accounting Studies, Springer, vol. 27(1), pages 185-230, March.
  4. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  5. Liao, Jingchi & Peng, Cheng & Zhu, Ning, 2019. "Price and volume dynamics in bubbles," LSE Research Online Documents on Economics 102057, London School of Economics and Political Science, LSE Library.
  6. Chue, Timothy K. & Gul, Ferdinand A. & Mian, G. Mujtaba, 2019. "Aggregate investor sentiment and stock return synchronicity," Journal of Banking & Finance, Elsevier, vol. 108(C).
  7. Mohrschladt, Hannes, 2021. "The ordering of historical returns and the cross-section of subsequent returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
  8. Qi Xu & Yang Ye, 2023. "Commodity network and predictable returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1423-1449, October.
  9. Jin, Lawrence J. & Sui, Pengfei, 2022. "Asset pricing with return extrapolation," Journal of Financial Economics, Elsevier, vol. 145(2), pages 273-295.
  10. Bansal, Avijit & Jacob, Joshy, 2022. "Impact of Price Path on Disposition Bias," Journal of Banking & Finance, Elsevier, vol. 143(C).
  11. Malmendier, Ulrike & Pouzo, Demian & Vanasco, Victoria, 2020. "Investor experiences and financial market dynamics," Journal of Financial Economics, Elsevier, vol. 136(3), pages 597-622.
  12. Shailesh Rana & William H. Bommer & G. Michael Phillips, 2020. "Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 88-106.
  13. Xu, Shaojun, 2023. "Behavioral asset pricing under expected feedback mode," International Review of Financial Analysis, Elsevier, vol. 86(C).
  14. Cheung, Yin-Wong & Wang, Wenhao, 2022. "Uncovered interest rate parity redux: Non-uniform effects," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 133-151.
  15. Liao, Jingchi & Peng, Cameron & Zhu, Ning, 2022. "Extrapolative bubbles and trading volume," LSE Research Online Documents on Economics 110514, London School of Economics and Political Science, LSE Library.
  16. Da, Zhi & Huang, Xing & Jin, Lawrence J., 2021. "Extrapolative beliefs in the cross-section: What can we learn from the crowds?," Journal of Financial Economics, Elsevier, vol. 140(1), pages 175-196.
  17. Cong Chen & Changsheng Hu & Liang Wu, 2023. "Feedback Trading, Investor Sentiment and the Volatility Puzzle: An Infinite Theoretical Framework," Mathematics, MDPI, vol. 11(14), pages 1-15, July.
  18. Devdeepta Bose & Henning Cordes & Sven Nolte & Judith Christiane Schneider & Colin Farrell Camerer, 2022. "Decision Weights for Experimental Asset Prices Based on Visual Salience," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5094-5126.
  19. Liao, Jingchi & Peng, Cameron & Zhu, Ning, 2021. "Extrapolative bubbles and trading volume," LSE Research Online Documents on Economics 118887, London School of Economics and Political Science, LSE Library.
  20. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
  21. Han, Xing & Li, Kai & Li, Youwei, 2020. "Investor overconfidence and the security market line: New evidence from China," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
  22. Verdickt, Gertjan, 2020. "Is fertility a leading indicator for stock returns?," Finance Research Letters, Elsevier, vol. 33(C).
  23. Ricardo De La O & Sean Myers, 2021. "Subjective Cash Flow and Discount Rate Expectations," Journal of Finance, American Finance Association, vol. 76(3), pages 1339-1387, June.
  24. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  25. Rizzo, Emanuele, 2018. "Essays on corporate governance and the impact of regulation on financial markets," Other publications TiSEM b5158260-ea13-4763-b992-6, Tilburg University, School of Economics and Management.
  26. Rossi, Stefano & Gulen, Huseyin & Ion, Mihai, 2019. "Credit Cycles, Expectations, and Corporate Investment," CEPR Discussion Papers 13679, C.E.P.R. Discussion Papers.
  27. Ibrahim Filiz & Jan René Judek & Marco Lorenz & Markus Spiwoks, 2021. "Sticky Stock Market Analysts," JRFM, MDPI, vol. 14(12), pages 1-27, December.
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