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Subjects / keywords: Stock market; Economics; Monetary economics; Financial economics; Business; Geography; Context (archaeology); Archaeology

ABSTRACT Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to “overreact” to unexpected and dramatic news events. This study of market efficiency investigates whether su...

ABSTRACT This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3‐to 12‐month hold...

Abstract We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of evidence—including human readings of 12,000 newspaper articles—indicate that our index prox...

Stewart C. Myers President of American Finance Association 1983 This paper's title is intended to remind you of Fischer Black's well-known note on “The Dividend Puzzle,” which he closed by saying, “What should the ...

ABSTRACT Two easily measured variables, size and book‐to‐market equity, combine to capture the cross‐sectional variation in average stock returns associated with market β , size, leverage, book‐to‐market equit...

Growth in this model is driven by technological change that arises from intentional investment decisions made by profit-maximizing agents. The distinguishing feature of the technology as an input is that it is neither a ...

Previous article Next article Fractional Brownian Motions, Fractional Noises and ApplicationsBenoit B. Mandelbrot and John W. Van NessBenoit B. Mandelbrot and John W. Van Nesshttps://doi.org/10.1137/1010093PDFBibTexSecti...

ABSTRACT Previous work shows that average returns on common stocks are related to firm characteristics like size, earnings/price, cash flow/price, book‐to‐market equity, past sales growth, long‐term past return, an...

If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and their underlying stocks. Using this principle, a theoretical...

Originally published as Lindblom, C.E. (1959). The science of muddling through, Public Administration Review, 19(2): 79-88. Reprinted with kind permission. For a critical analysis of this issue's Classic Paper The Scienc...

Subjects / keywords: Business enterprises; Finance; Stocks; Prices

In order to explain fairly simply how expectations are formed, we advance the hypothesis that they are essentially the same as the predictions of the relevant economic theory. In particular, the hypothesis asserts that t...

The authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability ...