Zobrazeno 1 - 10
of 35
pro vyhledávání: '"Guy Kaplanski"'
Publikováno v:
Management Science. 68:7658-7681
Regression regularization techniques show that deviations of accounting fundamentals from their preceding moving averages forecast drifts in equity market prices. Deviations-based predictability survives a comprehensive set of prominent anomalies. Th
Autor:
Guy Kaplanski
Publikováno v:
Journal of Financial Markets. 62:100754
Studying 71 anomalies, we show how the discovery of anomaly reshapes out-of-sample returns, thereby creating a contrarian effect to the general decay in returns. As a result, the average contribution of the first-day return to the portfolio value inc
Publikováno v:
Review of Financial Economics. 39:127-145
The distance between short- and long-run moving averages of prices (MAD) predicts future equity returns in the cross-section. Annualized value-weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond mo
Autor:
Haim Levy, Guy Kaplanski
Publikováno v:
Studies in Economics and Finance. 36:32-50
Purpose The purpose of this paper is to expand the peer effect analysis to investments in the stock market, where neither direct competition nor interaction with other investors exists. Design/methodology/approach A total of 772 subjects dwelling in
Publikováno v:
SSRN Electronic Journal.
Autor:
Haim Levy, Guy Kaplanski
Publikováno v:
The Scandinavian Journal of Economics. 119:457-483
We compare prospect ordering with and without envy and altruism. We find that envy can induce a violation of the univariate first-degree stochastic dominance (FSD), and thus a violation of the classic expected utility monotonicity axiom. Surprisingly
Autor:
Haim Levy, Guy Kaplanski
Publikováno v:
The Quarterly Review of Economics and Finance. 63:315-327
We analyze the role that financial analysts play in the sentiment effect on stock prices. Causality analysis reveals that sentiment affects various aspects of analysts’ forecasts and recommendations. We show that experienced analysts are aware of s
Publikováno v:
Journal of Economic Behavior & Organization. 123:149-167
We find that human perception contradicts the market efficiency assertions that high expected returns are accompanied by high risk and that past returns are not correlated with future returns. A survey of investors reveals that the last month realize
Publikováno v:
SSRN Electronic Journal.
The distance between short- and long-run moving averages of prices (MAD) predicts future equity returns in the cross-section. Annualized value-weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond mo
Autor:
Haim Levy, Guy Kaplanski
Publikováno v:
Journal of Banking & Finance. 58:390-404
We find that weekend, holiday and overnight trading breaks generate excessive perceived risk in the option markets, presumably due to asymmetric information, which, in turn, encourages uninformed option traders to postpone trading. This perceived ris