Earnings momentum strategies: a behavioral finance approach
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | German |
| Veröffentlicht: |
2002
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VIII, 67 S. |
Internformat
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Datensatz im Suchindex
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| adam_text | Contents
List of Tables IX
Acknowledgments XI
Abstract XIII
Introduction 1
A Contribution to Asset Pricing 2
Target Audience for this Research 3
The Structure of this Study 7
Part One: Behavioral Finance Foundations 9
Chapter 1: Rational Approaches 9
1.1 The Theory of Market Efficiency 10
1.2 Limited Arbitrage in Competitive Markets 13
1.3 Evidence of Cross Sectional Return Predictability 18
Chapter 2: Behavioral Approaches 21
2.1 Investor Behavior 21
2.2 Models of Investor Sentiment 23
2.3 Recent Out of Sample Tests 25
VIII
Part Two: Evidence of Market Inefficiencies 31
Chapter 3: Dispersion in Consensus Forecasts 31
3.1 The Rationale for Dispersion 31
3.2 Data Selection 32
3.3 Sample Description 34
Chapter 4: Earnings Momentum Strategies 37
4.1 Basic Earnings Revisions Strategies 37
4.2 Dispersion and Earnings Momentum Profitability 38
4.3 Results in Subperiods 42
Conclusions 45
Summary of the Results 45
Implications for Asset Management 47
Final Thoughts 48
Tables n
References 59
About the Author 67
List of Tables
1 Descriptive statistics of analysts forecasts 51
2 Actual monthly returns of portfolios
formed on the basis of earnings revisions 52
3 Market adjusted abnormal returns of portfolios
formed on the basis of earnings revisions 53
4 Actual returns over six months of portfolios
formed by earnings revisions and dispersion in analysts forecasts 54
5 Market adjusted abnormal returns over six months of portfolios
formed by earnings revisions and dispersion in analysts forecasts 55
6 Abnormal returns for various holding periods
of the low minus high dispersion portfolios
formed by earnings revisions and dispersion in analysts forecasts 56
7 Abnormal returns over six months of portfolios in subperiods
formed by earnings revisions and dispersion in analysts forecasts 57
|
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| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-07-09T19:00:41Z |
| institution | BVB |
| language | German |
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| spelling | Dische, Andreas Verfasser aut Earnings momentum strategies a behavioral finance approach Andreas Dische 2002 VIII, 67 S. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2001 Gewinn (DE-588)4020903-9 gnd rswk-swf Strategie (DE-588)4057952-9 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf Aktienanlage (DE-588)4125483-1 gnd rswk-swf Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Anlageverhalten (DE-588)4214003-1 s Unvollkommener Kapitalmarkt (DE-588)4124366-3 s Aktienanlage (DE-588)4125483-1 s Strategie (DE-588)4057952-9 s Gewinn (DE-588)4020903-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009784504&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Dische, Andreas Earnings momentum strategies a behavioral finance approach Gewinn (DE-588)4020903-9 gnd Strategie (DE-588)4057952-9 gnd Anlageverhalten (DE-588)4214003-1 gnd Aktienanlage (DE-588)4125483-1 gnd Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd |
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| title | Earnings momentum strategies a behavioral finance approach |
| title_auth | Earnings momentum strategies a behavioral finance approach |
| title_exact_search | Earnings momentum strategies a behavioral finance approach |
| title_full | Earnings momentum strategies a behavioral finance approach Andreas Dische |
| title_fullStr | Earnings momentum strategies a behavioral finance approach Andreas Dische |
| title_full_unstemmed | Earnings momentum strategies a behavioral finance approach Andreas Dische |
| title_short | Earnings momentum strategies |
| title_sort | earnings momentum strategies a behavioral finance approach |
| title_sub | a behavioral finance approach |
| topic | Gewinn (DE-588)4020903-9 gnd Strategie (DE-588)4057952-9 gnd Anlageverhalten (DE-588)4214003-1 gnd Aktienanlage (DE-588)4125483-1 gnd Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd |
| topic_facet | Gewinn Strategie Anlageverhalten Aktienanlage Unvollkommener Kapitalmarkt Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009784504&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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