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Citations for "Market Reactions to Tangible and Intangible Information"

by Kent Daniel & Sheridan Titman

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  1. Rui Albuquerque & Jianjun Miao, . "Advance Information and Asset Prices," Boston University - Department of Economics - Working Papers Series wp2009-017, Boston University - Department of Economics.
  2. Liang, Woan-lih, 2012. "Information content of repurchase signals: Tangible or intangible information?," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 261-274.
  3. Lauren Cohen & Dong Lou, 2011. "Complicated Firms," FMG Discussion Papers dp683, Financial Markets Group.
  4. Li, Dongmei & Zhang, Lu, 2010. "Does q-theory with investment frictions explain anomalies in the cross section of returns?," Journal of Financial Economics, Elsevier, vol. 98(2), pages 297-314, November.
  5. Kewei Hou & Chen Xue & Lu Zhang, 2014. "A Comparison of New Factor Models," NBER Working Papers 20682, National Bureau of Economic Research, Inc.
  6. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
  7. Eero J. Pätäri & Timo H. Leivo & J.V. Samuli Honkapuro, 2010. "Enhancement of value portfolio performance using data envelopment analysis," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(3), pages 223-246, August.
  8. Joshua D. Coval & Erik Stafford, 2005. "Asset Fire Sales (and Purchases) in Equity Markets," NBER Working Papers 11357, National Bureau of Economic Research, Inc.
  9. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012. "Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle," NBER Working Papers 18560, National Bureau of Economic Research, Inc.
  10. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School.
  11. Natalie Mizik & Robert Jacobson, 2007. "Myopic Marketing Management: Evidence of the Phenomenon and Its Long-Term Performance Consequences in the SEO Context," Marketing Science, INFORMS, vol. 26(3), pages 361-379, 05-06.
  12. Sendhil Mullainathan & Joshua Schwartzstein & Andrei Shleifer, 2008. "Coarse Thinking and Persuasion," The Quarterly Journal of Economics, Oxford University Press, vol. 123(2), pages 577-619.
  13. Georgios Papanastasopoulos & Dimitrios Thomakos & Tao Wang, 2010. "The implications of retained and distributed earnings for future profitability and stock returns," Review of Accounting and Finance, Emerald Group Publishing, vol. 9(4), pages 395 - 423, November.
  14. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2012. "The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns," NBER Working Papers 18231, National Bureau of Economic Research, Inc.
  15. Xiaoji Lin & Santiago Bazdrech & Frederico Belo, 2009. "Labor Hiring, Investment and Stock Return Predictability in the Cross Section," FMG Discussion Papers dp628, Financial Markets Group.
  16. David Hirshleife, 2015. "Behavioral Finance," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 133-159, December.
  17. Larry Epstein & Martin Schneider, 2004. "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers 507, University of Rochester - Center for Economic Research (RCER).
  18. Yan, Yuxing & Zhang, Shaojun, 2014. "Quality of PIN estimates and the PIN-return relationship," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 137-149.
  19. Wu, Jin (Ginger) & Zhang, Lu, 2010. "Does Risk Explain Anomalies? Evidence from Expected Return Estimates," Working Paper Series 2010-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  20. Itamar Drechsler & Qingyi Freda Drechsler, 2014. "The Shorting Premium and Asset Pricing Anomalies," NBER Working Papers 20282, National Bureau of Economic Research, Inc.
  21. Frazzini, Andrea & Lamont, Owen A., 2008. "Dumb money: Mutual fund flows and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 88(2), pages 299-322, May.
  22. Robert F. Stambaugh & Jianfeng Yu & Yu Yuan, 2011. "The Short of It: Investor Sentiment and Anomalies," NBER Working Papers 16898, National Bureau of Economic Research, Inc.
  23. Wolfgang Drobetz & Thomas Erdmann & Heinz Zimmermann, 2007. "Predictability in the cross-section of European bank stock returns," Working papers 2007/21, Faculty of Business and Economics - University of Basel.
  24. Huang, I-Hsiang, 2011. "The cyclical behavior of the risk of value strategy: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 19(4), pages 404-419, September.
  25. Jiang, Hao, 2010. "Institutional investors, intangible information, and the book-to-market effect," Journal of Financial Economics, Elsevier, vol. 96(1), pages 98-126, April.
  26. Marina A. Zavertiaeva, 2015. "Portfolio Forming Decisions: The Role of Intangibles," HSE Working papers WP BRP 44/FE/2015, National Research University Higher School of Economics.
  27. Baek, Seungho & Bilson, John F.O., 2015. "Size and value risk in financial firms," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 295-326.
  28. Sagi, Jacob S. & Seasholes, Mark S., 2007. "Firm-specific attributes and the cross-section of momentum," Journal of Financial Economics, Elsevier, vol. 84(2), pages 389-434, May.
  29. Subrahmanyam, Avanidhar, 2009. "Optimal financial education," Review of Financial Economics, Elsevier, vol. 18(1), pages 1-9, January.
  30. Hirshleifer, David & Jiang, Danling, 2007. "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper 20636, University Library of Munich, Germany, revised 10 Feb 2010.
  31. Tribó, Josep A. & Surroca, Jordi & Kim, Moshe, 2009. "The effect of social capital on financial capital," INDEM - Working Paper Business Economic Series id-09-02, Instituto para el Desarrollo Empresarial (INDEM).
  32. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  33. Kyrtsou, Catherine & Malliaris, Anastasios G., 2009. "The impact of information signals on market prices when agents have non-linear trading rules," Economic Modelling, Elsevier, vol. 26(1), pages 167-176, January.
  34. Brennan, Michael J. & Kraft, Holger, 2015. "Leaning against the wind: Debt financing in the face of adversity," SAFE Working Paper Series 119, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  35. Beneish, M. D. & Lee, C. M. C. & Nichols, D. C., 2014. "In Short Supply: Short-Sellers and Stock Returns," Research Papers 3064, Stanford University, Graduate School of Business.
  36. Park, James L., 2015. "Equity returns of distressed equity issuers," Finance Research Letters, Elsevier, vol. 14(C), pages 93-103.
  37. Hirshleifer, David & Jiang, Danling, 2007. "Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns," MPRA Paper 16134, University Library of Munich, Germany, revised 08 Jul 2009.
  38. Robert Merrin & Arvid Hoffmann & Joost Pennings, 2013. "Customer satisfaction as a buffer against sentimental stock-price corrections," Marketing Letters, Springer, vol. 24(1), pages 13-27, March.
  39. Yezegel, Ari, 2015. "Why do analysts revise their stock recommendations after earnings announcements?," Journal of Accounting and Economics, Elsevier, vol. 59(2), pages 163-181.
  40. Yu, Jialin, 2011. "Disagreement and return predictability of stock portfolios," Journal of Financial Economics, Elsevier, vol. 99(1), pages 162-183, January.
  41. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
  42. Hirshleifer, David & Teoh, Siew Hong, 2003. "Limited attention, information disclosure, and financial reporting," Journal of Accounting and Economics, Elsevier, vol. 36(1-3), pages 337-386, December.
  43. Cakici, Nusret & Chatterjee, Sris & Topyan, Kudret, 2015. "Decomposition of book-to-market and the cross-section of returns for Chinese shares," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 102-120.
  44. Lam, F.Y. Eric C. & Wei, K.C. John, 2011. "Limits-to-arbitrage, investment frictions, and the asset growth anomaly," Journal of Financial Economics, Elsevier, vol. 102(1), pages 127-149, October.
  45. Bing Han & Dong Hong & Mitch Warachka, 2009. "Forecast Accuracy Uncertainty and Momentum," Management Science, INFORMS, vol. 55(6), pages 1035-1046, June.
  46. Re-Jin Guo & Nan Zhou, 2016. "Innovation capability and post-IPO performance," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 335-357, February.
  47. Hao Jiang & Michela Verardo, . "Does herding behavior reveal skill? An analysis of mutual fund performance," FMG Discussion Papers dp720, Financial Markets Group.
  48. Roberto Steri, 2015. "Collateral-Based Asset Pricing," 2015 Meeting Papers 293, Society for Economic Dynamics.
  49. Martijn Cremers & Ankur Pareek, 2009. "Institutional Investors’ Investment Durations and Stock Return Anomalies: Momentum, Reversal, Accruals, Share Issuance and R&D Increases," Yale School of Management Working Papers amz2662, Yale School of Management, revised 04 Sep 2009.
  50. David McLean, R., 2011. "Share issuance and cash savings," Journal of Financial Economics, Elsevier, vol. 99(3), pages 693-715, March.
  51. Krauss, Christopher & Beerstecher, Daniel & Krüger, Tom, 2015. "Feasible earnings momentum in the U.S. stock market: An investor's perspective," FAU Discussion Papers in Economics 12/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  52. Hirshleifer, David & Daniel, Kent, 2015. "Overconfident investors, predictable returns, and excessive trading," MPRA Paper 69002, University Library of Munich, Germany.
  53. Shen, Carl Hsin-han & Zhang, Hao, 2013. "CEO risk incentives and firm performance following R&D increases," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1176-1194.
  54. da Silva, Raphael Braga & Klotzle, Marcelo Cabus & Figueiredo, Antonio Carlos & da Motta, Luiz Felipe Jacques, 2015. "Innovative intensity and its impact on the performance of firms in Brazil," Research in International Business and Finance, Elsevier, vol. 34(C), pages 1-16.
  55. Hsu, Po-Hsuan & Huang, Dayong, 2010. "Technology prospects and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 39-53, January.
  56. Hung, Weifeng & Huang, Sheng-Tang & Lu, Chia-Chi & Liu, Nathan, 2015. "Trading behavior and stock returns in Japan," The Quarterly Review of Economics and Finance, Elsevier, vol. 58(C), pages 200-212.
  57. Aydoğan Alti & Paul C. Tetlock, 2014. "Biased Beliefs, Asset Prices, and Investment: A Structural Approach," Journal of Finance, American Finance Association, vol. 69(1), pages 325-361, 02.
  58. Robert F. Stambaugh & Yu Yuan, 2015. "Mispricing Factors," NBER Working Papers 21533, National Bureau of Economic Research, Inc.
  59. Semenova, Natalia & Hassel, Lars & Nilsson, Henrik, 2009. "The Value Relevance of Environmental and Social Performance: Evidence from Swedish SIX 300 Companies," Sustainable Investment and Corporate Governance Working Papers 2009/4, Sustainable Investment Research Platform.
  60. Zhi Da & Ravi Jagannathan & Jianfeng Shen, 2014. "Growth Expectations, Dividend Yields, and Future Stock Returns," NBER Working Papers 20651, National Bureau of Economic Research, Inc.
  61. Butler, Alexander W. & Cornaggia, Jess & Grullon, Gustavo & Weston, James P., 2011. "Corporate financing decisions, managerial market timing, and real investment," Journal of Financial Economics, Elsevier, vol. 101(3), pages 666-683, September.
  62. Cederburg, Scott & O’Doherty, Michael S., 2015. "Asset-pricing anomalies at the firm level," Journal of Econometrics, Elsevier, vol. 186(1), pages 113-128.
  63. Owen A. Lamont & Jeremy C. Stein, 2006. "Investor Sentiment and Corporate Finance: Micro and Macro," American Economic Review, American Economic Association, vol. 96(2), pages 147-151, May.
  64. He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015. "Multi-factor volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S132-S149.
  65. Galvani, Valentina & Gubellini, Stefano, 2013. "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, vol. 10(3), pages 142-150.
  66. David McLean, R. & Pontiff, Jeffrey & Watanabe, Akiko, 2009. "Share issuance and cross-sectional returns: International evidence," Journal of Financial Economics, Elsevier, vol. 94(1), pages 1-17, October.
  67. Hirshleifer, David & Hsu, Po-Hsuan & Li, Dongmei, 2013. "Innovative efficiency and stock returns," Journal of Financial Economics, Elsevier, vol. 107(3), pages 632-654.
  68. Campbell R. Harvey & Yan Liu & Heqing Zhu, 2014. ". . . and the Cross-Section of Expected Returns," NBER Working Papers 20592, National Bureau of Economic Research, Inc.
  69. Atilgan, Yigit & Demirtas, K. Ozgur & Erdogan, Alper, 2016. "Share issuance and equity returns in Borsa Istanbul," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 320-333.
  70. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.
  71. Hirshleifer, David & Li, Jun & Yu, Jianfeng, 2015. "Asset pricing in production economies with extrapolative expectations," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 87-106.
  72. Dong Lou, 2013. "Attracting investor attention through advertising," LSE Research Online Documents on Economics 54382, London School of Economics and Political Science, LSE Library.
  73. Kewei Hou & Chen Xue & Lu Zhang, 2012. "Digesting Anomalies: An Investment Approach," NBER Working Papers 18435, National Bureau of Economic Research, Inc.
  74. Lai, Richard, 2006. "Inventory and the Stock Market," MPRA Paper 4760, University Library of Munich, Germany.
  75. Santanu Mitra & Mahmud Hossain, 2011. "Corporate governance attributes and remediation of internal control material weaknesses reported under SOX Section 404," Review of Accounting and Finance, Emerald Group Publishing, vol. 10(1), pages 5 - 29, February.
  76. Chang, Yen-Cheng & Cheng, Hung-Wen, 2015. "Information environment and investor behavior," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 250-264.
  77. Sullivan, Michael & Zhang, Andrew (Jianzhong), 2011. "Are investment and financing anomalies two sides of the same coin?," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 616-633, September.
  78. Cheng Wee Tan & Dogan Tirtiroglu & Ercan Tirtiroglu, 2013. "Reits' Growth Options and Asset Pricing Dynamics across Time," Koç University-TUSIAD Economic Research Forum Working Papers 1303, Koc University-TUSIAD Economic Research Forum.
  79. Robert Jacobson & Natalie Mizik, 2009. "The Financial Markets and Customer Satisfaction: Reexamining Possible Financial Market Mispricing of Customer Satisfaction," Marketing Science, INFORMS, vol. 28(5), pages 810-819, 09-10.
  80. Barinov, Alexander, 2012. "Aggregate volatility risk: Explaining the small growth anomaly and the new issues puzzle," Journal of Corporate Finance, Elsevier, vol. 18(4), pages 763-781.
  81. Antoniou, Constantinos & Harrison, Glenn & Lau, Morten & Read, Daniel, 2015. "Information Characteristics and Errors in Expectations: Experimental Evidence," IZA Discussion Papers 9387, Institute for the Study of Labor (IZA).
  82. repec:hhs:bofism:2012_047 is not listed on IDEAS
  83. duqi, andi & mirti, riccardo & torluccio, giuseppe, 2011. "An analysis of the R&D effect on stock returns for European listed firms," MPRA Paper 40012, University Library of Munich, Germany.
  84. Leonid Kogan & Mary Tian, 2012. "Firm characteristics and empirical factor models: a data-mining experiment," International Finance Discussion Papers 1070, Board of Governors of the Federal Reserve System (U.S.).
  85. Akbas, Ferhat & Armstrong, Will J. & Sorescu, Sorin & Subrahmanyam, Avanidhar, 2015. "Smart money, dumb money, and capital market anomalies," Journal of Financial Economics, Elsevier, vol. 118(2), pages 355-382.
  86. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
  87. Chan, Konan & Lin, Yueh-hsiang & Wang, Yanzhi, 2015. "The information content of R&D reductions," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 131-155.
  88. Hamadi FakhFakh & Rim Zouari-Hadiji, 2011. "Dettes financières et investissement en R&D:une étude comparative," Working Papers CREGO 1110302, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
  89. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer, vol. 26(1), pages 3-38, March.
  90. Ko, K. Jeremy & (James) Huang, Zhijian, 2007. "Arrogance can be a virtue: Overconfidence, information acquisition, and market efficiency," Journal of Financial Economics, Elsevier, vol. 84(2), pages 529-560, May.
  91. Ilia D. Dichev, 2007. "What Are Stock Investors’ Actual Historical Returns? Evidence from Dollar-Weighted Returns," American Economic Review, American Economic Association, vol. 97(1), pages 386-401, March.
  92. Rachida Hennani, 2015. "Can the Lasota(1977)’s model compete with the Mackey-Glass(1977)’s model in nonlinear modelling of financial time series?," Working Papers 15-09, LAMETA, Universtiy of Montpellier, revised Jun 2015.
  93. Sloan, Richard G. & You, Haifeng, 2015. "Wealth transfers via equity transactions," Journal of Financial Economics, Elsevier, vol. 118(1), pages 93-112.
  94. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
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