Gergana Jostova’s research while affiliated with George Washington University and other places

... I assume that F A t = F M t 6 ¼ ; (i.e., the analyst's information set, excluding the market's information set, is nonempty) and that F A t = F M t contains useful pricing information. Sources of such information 2 In related work, Grinblatt, Jostova, and Philipov (2018) provide evidence that analyst earnings forecasts are biased with respect to 14 common anomalies. Guo, Li, and Wei (2020) provide evidence that analyst recommendations contradict predictions from the 11 anomalies studied in Stambaugh and Yuan (2017). ...

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Stock Price Reactions to the Information and Bias in Analyst-Expected Returns

... They found a robust negative relationship between default probabilities and equity returns concentrated among low-capitalisation stocks in developed North American and European countries. Avramov et al. (2022) also confirmed that high credit-risk companies' bonds and stocks have abysmal returns. ...

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Empirical insights into the distress risk anomaly: evidence from India

... This trading behavior is opposed to momentum trading and it is widely explored in the literature. Several works, as [42,43,44,45,46,47,48,49], provide empirical evidences that the contrarian behavior is commonly adopted, especially among individual investors. It is driven by the mean-reversion paradigm and partially rooted in the disposition effect i.e. the investors' tendency to hold on to losers stocks and sell the winners. ...

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Modeling metaorder impact with a Non-Markovian Zero Intelligence model

... Another significant consequence of financial distress is the loss of shareholder value as highlighted by Avramov et al. (2019). When a company is in distress, its stock and bond prices often become overvalued due to excessive optimism from investors, which creates a mispricing of the company's financial health. ...

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Turnaround Financing: Legal and Financial Considerations for Distressed Companies

... However, Eisdorfer et al. (2018) question this explanation based on their finding that the default-risk anomaly holds in many countries where shareholders do not have advantages over bondholders. Grinblatt, Jostova and Philipov (2014) and Ashour and Hao (2019) document that stock analysts are overoptimistic or suppress negative information about high default-risk stocks, which could give rise to the negative credit risk-return relation. ...

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Credit Risk and Anomalies in Pakistan’s Stock Market

... and Carhart (1997) studies, which identify size, value, and momentum factors in addition to market risk as significant drivers of stock returns, the micro-finance research addressed the measurement of macroeconomic factors' impacts on returns of portfolio strategies based on these multi-factor models. These analyses could be crucial in explaining the low or negative correlation often found in literature between the returns of such strategies (Cooper-Priestley 2009;Avramov et al. 2012;; Wisniewski-Jackson 2020; Dahlquist-Hasseltoft 2020). The contribution of this paper is twofold: i) to explain the theoretical foundation of expected impacts of the main macroeconomic factors on the returns of value and momentum strategies regarding equity and bond asset classes; ii) to verify whether these relationships are supported (in terms of sign and statistical significance) by the most recent empirical literature. ...

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Fattori di rischio macroeconomici e rendimenti delle strategie di portafoglio: ipotesi teoriche ed evidenza empirica

... and Carhart (1997) studies, which identify size, value, and momentum factors in addition to market risk as significant drivers of stock returns, the micro-finance research addressed the measurement of macroeconomic factors' impacts on returns of portfolio strategies based on these multi-factor models. These analyses could be crucial in explaining the low or negative correlation often found in literature between the returns of such strategies (Cooper-Priestley 2009;Avramov et al. 2012;; Wisniewski-Jackson 2020; Dahlquist-Hasseltoft 2020). The contribution of this paper is twofold: i) to explain the theoretical foundation of expected impacts of the main macroeconomic factors on the returns of value and momentum strategies regarding equity and bond asset classes; ii) to verify whether these relationships are supported (in terms of sign and statistical significance) by the most recent empirical literature. ...

Reference:

Fattori di rischio macroeconomici e rendimenti delle strategie di portafoglio: ipotesi teoriche ed evidenza empirica

... Finally, our analysis also contributes to the existing factor investing literature, which explains the variation of corporate bond returns with bond and stock characteristics. Correia et al. (2012), Jostova et al. (2013), Chordia et al. (2017), Correia et al. (2018), Bektić (2019), Kaufmann and Messow (2020), Bali et al. (2021), Bartram et al. (2020), among others, develop alternative credit factors by using bond and equity information. On the other hand, Hottinga et al. (2001), Houweling and Zundert (2017), Brooks et al. (2018), Israel et al. (2018), Bektić et al. (2019), and Henke et al. (2020) propose multifactor models to invest in corporate bonds. ...

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In the shadow of country risk: asset pricing model of emerging market corporate bonds

... Thus, in this subsection, we use the analyst earnings forecast dispersion as a proxy for the divergence of opinion and add it as a covariable to the PSM to ensure that the firm characteristics of the control group and the treatment group are as similar as possible. Following Avramov et al. (2009), we compute the dispersion as the standard deviation of earnings per share (EPS) forecasts divided by the absolute value of the mean EPS forecast. We then add analyst earnings forecast dispersion as a covariable to PSM and perform regression (2). ...

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Role of OTC options in stock price efficiency: Evidence from the Chinese market

... (Carangelo & Ferrillo, 2016;Jacoby et al., 2019;. Fan et al., 2013;Avramov et al., 2013;Kasgari et al., 2013;Shishia et al., 2014, Vianez et al., 2019 . (Cimini, 2015;Flores et al., 2016;Koowatanatianchai, 2018;Lassoued & Khanchel, 2021). ...

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اختبار أثر الضائقة المالية للشركات على ممارسات إدارة الأرباح- دليل من الشركات المقيدة بالبورصة المصرية