Investor recognition and stock returns

Review of Accounting Studies

Volumn 13, Issue 2-3, 2008, Pages 327-361

  Lehavy, Reuven ^a   Sloan, Richard G ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b Federal Service for Surveillance on Consumer Rights Protection and Human Well Being   (United States)

Author keywords

Earnings; Firms' value; Investor recognition; Stock returns

Indexed keywords

EID: 44449138963     PISSN: 13806653     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11142-007-9063-y     Document Type: Article

References (34)

1. Amihud, Y., Mendelson, H., & Uno, J. (1999). Number of shareholders and stock prices: Evidence from Japan. Journal of Finance, 54, 1169-1184.
2. Arbel, A., Carvell, S., & Strebel, P. (1983). Giraffes, institutions and neglected firms. Financial Analysts Journal, 39(3), 57-63.
3. Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. The Journal of Accounting Research, 7, 159-178.
4. Barber, B., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies (forthcoming).
5. Bushee, B., & Miller, G. (2005). Investor relations, firm visibility, and investor following. Working Paper, University of Pennsylvania.
6. Brandt, M., Brav, A., & Graham, J. (2005). The idiosyncratic volatility puzzle: Time trend or speculative episodes. Working Paper, Duke University.
7. Brennan, M. J., & Tamorowski, C. (2000). Investor relations, liquidity and stock prices. Journal of Applied Corporate Finance, 12, 26-37.
8. Bodnaruk, A., & Ostberg, P. (2005). Does investor recognition predict excess returns? Working Paper, Stockholm School of Economics.
9. Campbell, J. (1991). A variance decomposition for stock returns. The Economic Journal, 101, 157-179.
10. Campbell, J., Lettau, M., Malkiel, B., & Xu, Y. (2001). Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance, 56, 1-43.
11. Chen, J., Hong, H., & Stein, J. (2002). Breadth of ownership and stock returns. Journal of Financial Economics, 66, 171-205.
12. Chen, H., Noronha, G., & Singal, V. (2004). The price response to S&P 500 index additions and deletions: Evidence of asymmetry and a new explanation. The Journal of Finance, 59, 1901-1930.
13. Fama, E., & French, K. (1997). Industry costs of equity. Journal of Financial Economics, 43, 153-193.
14. Fama, E., & MacBeth, J. (1973). Risk, return and equilibrium: Empirical tests. The Journal of Political Economy, 81, 607-636.
15. Foerster, S., & Karolyi, G. (1999). The effects of market segmentation and investor recognition on asset prices: Evidence from foreign stocks listing in the United States. The Journal of Finance, 54, 981-1014.
16. Foster, G. (1977). Quarterly accounting data-time series properties and predictive-ability results. The Accounting Review, 52, 1-31.
17. Gervais, S., Kaniel, R., & Mingelgrin, D. H. (2001). The high volume return premium. The Journal of Finance, 56(3), 877-919.
18. Grullon, G., Kanatas, G., & Weston, J. (2004). Advertising, breadth of ownership, and liquidity. Review of Financial Studies, 17, 439-461.
19. Irvine, P. J. (2003). The incremental impact of analyst initiation of coverage. Journal of Corporate Finance, 9, 431-451.
20. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48, 65-92.
21. Kadlec, G., & McConnell, B. (1994). The effect of market segmentation and illiquidity on asset prices: Evidence from exchange listings. The Journal of Finance, 49, 611-637.
22. Kaniel, R., Li, D., & Starks, L. T. (2003). The investor recognition hypothesis: International evidence and determinants. Working Paper, University of Texas.
23. Lev, B. (1989). On the usefulness of earnings and earnings research: Lessons and directions from two decades of research. The Journal of Accounting Research, 27, 153-192.
24. Liu, J., & Thomas, J. (2000). Stock returns and accounting earnings. The Journal of Accounting Research, 38, 71-101.
25. Lakonishok, J., Shleifer, A., & Vishny, R. (1994). Contrarian investment extrapolation and risk. The Journal of Finance, 49, 1541-1578.
26. Malkiel, B., & Xu, Y. (2004). Idiosyncratic risk and security returns. Working Paper, University of Texas at Dallas.
27. Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. The Journal of Finance, 42(3), 483-510.
28. Richardson, S. A., Sloan, R. G., Soliman, M. T., & Tuna, I. (2004). Accrual reliability, earnings persistence and stock prices. The Journal of Accounting and Economics, 39, 437-485.
29. Ritter, J. R. (2003). Investment banking and securities issuance. In G. Constantinides, M. Harris, & R. Stulz (Eds.), Handbook of economics and finance (pp. 255-306). Amsterdam: North-Holland.
30. 2. The Journal of Finance, 43, 541-566.
31. Shleifer, A. (1986). Do demand curves for stocks slope down? The Journal of Finance, 41, 579-591.
32. Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review, 71(3), 289-315.
33. Titman, S., Wei, K., & Xie, F. (2004). Capital investment and stock returns. Journal of Financial and Quantitative Analysis, 39, 210-240.
34. Vuolteenaho, T. (2002). What drives firm-level stock returns? The Journal of Finance, 57, 233-265.