Earticle

초록

영어

Despite few economic meaning, the nominal per-share price of a stock is one of the most important references for stock market investors (e.g., Weld, Michaely, Thaler, and Benartzi; Journal of Economic Perspectives 2009). That is, investors care about where the current per-share price is and also forecast its future value. However, since the price is a convex function of return, the share price forecast is biased upwards compared to the underlying return; consequently, a lower return accrues in the future. In this paper, we find evidence for this hypothesis, namely, that the degree of this price forecast bias is negatively related to future return cross-sectionally. We also show that this result is independent of the existing cross-sectional patterns such as the size, BM, momentum, reversal, and liquidity effects. Since the price forecast bias increases in stock return volatility, our results help explain the so-called volatility puzzle in which stocks with greater volatility earns a lower return in the future.

목차

Abstract
 1. Introduction
 2. Sample and data
  2.1. Sample
  2.2. Measures of price forecast bias
 3. Empirical results
  3.1. Baseline specification for the cross-section of stock returns
  3.2. Turnover-sorted sub-samples
  3.3. Alternative sub-samples
  3.4. Turnover effect in alternative sub-samples
  3.5. “Normal” price range sub-sample
  3.6. Role of investor sentiment – turnover effect in sentiment-sorted sub-samples
  3.7. Nasdaq results
 4. Conclusions
 References
 Table

키워드

저자

• Dong Wook Lee [ Associate Professor of Finance, Korea University Business School, Seoul, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330