Echo Chambers: How They Hurt Returns, and the Benefits of Diverse Perspectives in Research
CFA Society Baltimore hosted Echo Chambers: How They Hurt Returns, and the Benefits of Diverse Perspectives in Research on March 29, 2023. Actively
CFA Society Baltimore hosted Echo Chambers: How They Hurt Returns, and the Benefits of Diverse Perspectives in Research on March 29, 2023. Actively
We find that equity loan fees are the best predictor of cross-sectional returns. When compared to 102 other anomalies, the loan fee anomaly
We find evidence of selective exposure to confirmatory information among 400,000 users on the investor social network StockTwits. Self-described bulls are 5 times
Firm-level variables that predict cross-sectional stock returns, such as price-to-earnings and short interest, are often averaged and used to predict the time series
In simple univariate tests, the disposition effect for a stock nearly disappears if the portfolio is at a gain. We find a large
Analysts’ price targets and recommendations contradict stock return anomaly variables. Using an index based on 125 anomalies, we find that analysts’ annual stock
Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and are 6
Short sellers face unique risks, such as the risk that stock loans become expensive and the risk that stock loans are recalled. We
Baseball cards exhibit anomalies that are analogous to those that have been documented in financial markets, namely, momentum, price drift in the direction
This paper documents that the path of credit spreads since a firm’s last loan influences the level at which it can currently borrow.
We use the daily internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to
We find that a substantial portion of short sellers’ trading advantage comes from their ability to analyze publicly available information. Using a database
We use search volume for firms’ products to predict revenue surprises, earnings surprises and earnings announcement returns. We find that increases (decreases) in
We use the popular television show Mad Money hosted by Jim Cramer to test theories of attention and limits to arbitrage. Stock recommendations
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5516-NLD-09/01/2021
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