January 2021
·
19 Reads
·
1 Citation
SSRN Electronic Journal
What is this page?
This page lists works of an author who doesn't have a ResearchGate profile or hasn't added the works to their profile yet. It is automatically generated from public (personal) data to further our legitimate goal of comprehensive and accurate scientific recordkeeping. If you are this author and want this page removed, please let us know.
Publications (30)
April 2020
·
243 Reads
·
310 Citations
Review of Financial Studies
We propose a theoretically motivated factor model based on investor psychology and assess its ability to explain the cross-section of U.S. equity returns. Our factor model augments the market factor with two factors that capture long- and short-horizon mispricing. The long-horizon factor exploits the information in managers’ decisions to issue or repurchase equity in response to persistent mispricing. The short-horizon earnings surprise factor, which is motivated by investor inattention and evidence of short-horizon underreaction, captures short-horizon anomalies. This 3-factor risk-and-behavioral model outperforms other proposed models in explaining a broad range of return anomalies. (JEL G12, G14) Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
January 2020
·
30 Reads
·
2 Citations
SSRN Electronic Journal
October 2019
·
189 Reads
·
111 Citations
Proceedings of the National Academy of Sciences
Significance Risk and uncertainty are important in pricing climate damages. Despite a burgeoning literature, attempts to marry insights from asset pricing with climate economics have largely failed to supplement—let alone supplant—decades-old climate–economy models, largely due to their analytic and computational complexity. Here, we introduce a simple, modular framework that identifies core trade-offs, highlights the sensitivity of results to key inputs, and helps pinpoint areas for further work.
August 2018
·
36 Reads
·
27 Citations
European Finance Review
We model sequential bidding in a private value English auction when it is costly to submit or revise a bid. We show that, even when bid costs approach zero, bidding occurs in repeated jumps, consistent with certain types of natural auctions such as takeover contests. In contrast with most past models of bids as valuation signals, every bidder has the opportunity to signal and increase the bid by a jump. Jumps communicate bidders' information rapidly, leading to contests that are completed in a few bids. The model additionally predicts; informative delays in the start of bidding; that the probability of a second bid decreases in, and the jump increases in, the first bid; that objects are sold to the highest valuation bidder; and that revenue and efficiency relationships between different auctions hold asymptotically.
January 2017
·
148 Reads
·
37 Citations
SSRN Electronic Journal
November 2015
·
430 Reads
·
249 Citations
Journal of Economic Perspectives
The last several decades have witnessed a shift away from a fully rational paradigm of financial markets toward one in which investor behavior is influenced by psychological biases. Two principal factors have contributed to this evolution: a body of evidence showing how psychological bias affects the behavior of economic actors; and an accumulation of evidence that is hard to reconcile with fully rational models of security market trading volumes and returns. In particular, asset markets exhibit trading volumes that are high, with individuals and asset managers trading aggressively, even when such trading results in high risk and low net returns. Moreover, asset prices display patterns of predictability that are difficult to reconcile with rational-expectations–based theories of price formation. In this paper, we discuss the role of overconfidence as an explanation for these patterns.
January 2015
·
34 Reads
·
7 Citations
SSRN Electronic Journal
The last several decades have witnessed a shift away from a fully rational paradigm of financial markets toward one in which investor behavior is influenced by psychological biases. Two principal factors have contributed to this evolution: a body of evidence showing how psychological bias affects the behavior of economic actors; and an accumulation of evidence that is hard to reconcile with fully rational models of security market trading volumes and returns. In particular, asset markets exhibit trading volumes that are high, with individuals and asset managers trading aggressively, even when such trading results in high risk and low net returns. Moreover, asset prices display patterns of predictability that are difficult to reconcile with rational expectations-based theories of price formation. In this paper, we discuss the role of overconfidence as an explanation for these patterns.
February 2006
·
351 Reads
·
517 Citations
The Journal of Finance
The book-to-market effect is often interpreted as evidence of high expected returns on stocks of "distressed" firms with poor past performance. We dispute this interpretation. We find that while a stock's future return is unrelated to the firm's past accounting-based performance, it is strongly negatively related to the "intangible" return, the component of its past return that is orthogonal to the firm's past performance. Indeed, the book-to-market ratio forecasts returns because it is a good proxy for the intangible return. Also, a composite equity issuance measure, which is related to intangible returns, independently forecasts returns. Copyright 2006 by The American Finance Association.
January 2006
·
17 Reads
·
93 Citations
Citations (28)
... Thus, psychological factors influence more on stock returns more, and more opportunities are created. The previous strategy was tested in the US market and had a quiet, pleasant result in explaining the stock returns by Daniel, Hirshleifer, and Sun [7]. However, the market situation in the US and different from that in China. ...
- Citing Article
January 2021
SSRN Electronic Journal
... Several studies show that risk factors explain stock returns (e.g., Fama and French, 1993, 1996. However, many studies argue that the variation in stock returns stems from behavioural biases (e.g., investor mood) rather than risk premiums (Barberis et al., 1998;Daniel et al., 2020;Daniel et al., 1998Daniel et al., , 2001Hirshleifer and Jiang, 2010). It is well documented in the psychology literature that mood affects decision-making, and people are more optimistic when they are in a good mood (e.g., Bagozzi et al., 1999;Wright and Bower, 1992); i.e., the number of sunshine hours (e.g., Eagles, 1994;Tietjen and Kripke, 1994), results of sporting events (Edmans et al., 2007), and music (Edmans et al., 2022) reflect people's mood and consequently affect stock market returns. ...
- Citing Article
April 2020
Review of Financial Studies
... We complement their findings by showing that SOEs invest more in green projects when the government increases the stringency of environmental regulations. 5 Our paper is also distantly related to the broader literature on corporate "green" engagement and CSR activities in general: see, e.g.,Cumming and Johan (2007),Daniel et al. (2019),Barber et al. (2021), Flammer (2020,Larcker and Watts (2020),Chen et al. (2021), and Kacperczyk (2021, 2023).Content courtesy of Springer Nature, terms of use apply. Rights reserved. ...
- Citing Article
- Full-text available
October 2019
Proceedings of the National Academy of Sciences
... Linnainmaa (2010) finds that individual investors underperform related to informed traders because the latter select their limit orders. More specifically, the returns on individual investor trades that originate from 2 The following authors also provide literature reviews dedicated to behavioral economics and finance: Rabin (1998), Shiller (1999), Hirshleifer (2001), Daniel et al. (2002), Barberis and Thaler (2003), Campbell (2006), Benartzi and Thaler (2007), and Subrahmanyam (2008). limit orders lose 0.51% on the day following a trade and 3.3% over a 63-day period. ...
- Citing Article
January 2001
SSRN Electronic Journal
... Extant studies has been carried out on exploring the various biases exhibited by investors while making investment decisions in financial markets. The individual biases of investors were identified using stock market returns and trading data which included overreaction (Daniel, Hirshleifer, & Subrahmanyam, 1998)mental accounting (Tversky & Kahneman, 1973) heuristics (Kempf & Ruenzi, 2006;Kengatharan & Kengatharan, 2014) herding (Shiller, 2000;Shiller & Pound, 1989) er, in day to day and in complex situations, investors tend to use diverse criteria than using a single approach for investment decisions .The investor surveys examined the collective biases exhibited by the investors that impact their decisions (Hair, Ringle, & Sarstedt, 2011;Hu & Bentler, 1999;Lai et al., 2013;Lakshmi, Visalakshmi, Thamaraiselvan, & Senthilarasu, 2013;Shabgou & Mousavi, 2016;Waweru, Munyoki, & Uliana, 2008) proposed a conceptual framework comprising of the three constructs Contingent Scaffolding, Facile Affixation and Antecedent Aftermath which influence ...
- Citing Article
January 1998
SSRN Electronic Journal
... Strategic signaling and optimal free disclosure of information in auctions have been studied widely in literature on both economics [8][9][10][11] and artificial intelligence (AI) [12][13][14]. The work of Fishman [8] discusses the problem of a takeover bidding process with multiple bidders. ...
Reference:
On the Reality of Signaling in Auctions
- Citing Article
August 2018
European Finance Review
... First, exploring the benefits of factor investing across different economic states along the lines of Briere and Szafarz (2017a) or using the regime switching method of Ang and Bekaert (2004). Second, using a broader range of a different set of factors from newer factor models as Hou et al (2015), Stambaugh and Yuan (2017), Daniel et al. (2017), and Barillas, Kan, Robotti, and Shanken (2017). Third, examining the benefits of factor investing using small spread factors as Fama and French (2017). ...
- Citing Article
January 2017
SSRN Electronic Journal
... Kendisine aşırı güvenen yatırımcılar, daha yüksek getiriler elde edebileceklerine olan aşırı inancın da etkisiyle, diğer yatırımcılardan daha fazla işlem gerçekleştirmektedirler (Barber ve Odean, 2001;Daniel ve Hirshleifer, 2015). Buradan hareketle bu çalışmada, Borsa İstanbul'da aşırı güven ön yargısının izleri işlem hacmi özelinde yatırımcıların ortalama elde tutma süreleri ile işlem hacmi devir hızı rasyosunun çeşitli ülke borsaları ile karşılaştırılması suretiyle ele alınmıştır. ...
- Citing Article
January 2015
SSRN Electronic Journal
... [7][8]. Daniel, Hirshleifer and Subrahmanyam illustrate that Investors with information may have overconfidence and selfattribution when making investment decisions [9]. This paper applies different time arrangements and factor models to help examine the predictable behavior of momentum and reversal effect in different time horizons to discover time-series momentum caused by historical events. ...
- Citing Chapter
January 2005
... 미국 주택시장에서의 모멘텀 효과는 하나의 정형화된 사실로 여겨지며 (Beracha & Skiba, 2009;Glaeser & Nathanson, 2017;Pan, 2024), 최근에는 한국의 서울특별시 아파트 시장에서도 이러 한 효과가 존재함이 확인되었다 (최윤호, 2024 (Daniel et al., 1998;De Long et al., 1990). 두 번째 설명은 정보에 대한 과소 반응으로 인한 가격의 점진적 상승이다. ...
- Citing Article
January 2005