Suppressed negative information and future underperformance

Review of Finance

Volumn 12, Issue 3, 2008, Pages 533-565

  Scherbina, Anna ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 48749114681     PISSN: 15723097     EISSN: 1573692X     Source Type: Journal    
DOI: 10.1093/rof/rfm028     Document Type: Review

References (31)

1. Barber, B. and Odean, T. (1999) The courage of misguided convictions: The trading behavior of individual investors, Financial Analyst Journal 55, 41-55.
2. Barber, B. and Odean, T. (2000) Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance 55, 773-806.
3. Barberis, N., Shleifer, A. and Vishny, R. (1998) A model of investor sentiment, Journal of Financial Economics 94, 307-343.
4. Bradshaw, M. T., Richardson, S. A. and Sloan, R. G. (2003) Pump and dump: An empirical analysis of the relation between corporate financing activities and sell-side analyst research. Working Paper.
5. Brown, S. J. and Warner, J. B. (1985) Using daily stock returns: The case of event studies, Journal of Financial Economics 14, 3-31.
6. Chan, L. K. C., Jegadeesh, N. and Lakonishok, J. (1996) Momentum strategies, Journal of Finance 51, 1681-1713.
7. Chari, V., Jagannathan, R. and Ofer, A. (1988) Seasonality of security returns: The case of earnings announcements, Journal of Financial Economics 21, 101-121.
8. Cheng, Y., Liu, M. H. and Qian, J. (2005) Buy-side analysts, sell-side analysts, and investment decisions of money managers, Journal of Financial and Quantitative Analysis 41, 51-82.
9. Cowen, A. P., Groysberg, B. and Healy, P. (2003) Which types of analyst firms are more optimistic? Journal of Accounting and Economics 41, 199-146.
10. Diether, K., Malloy, C. and Scherbina, A. (2002) Differences of opinion and the cross-section of stock returns, Journal of Finance 57, 2113-2141.
11. Fama, E. F. and French, K. R. (1992) The cross-section of expected stock returns, Journal of Finance 46, 427-466.
12. Fama, E. F. and French, K. R. (1993) Common risk factors in the returns of stocks and bonds, Journal of Financial Economics 33, 3-56.
13. Fama, E. F. and MacBeth, J. (1973) Risk, return and equilibrium: Empirical tests, Journal of Political Economy 51, 55-84.
14. Gebhardt, W. R., Lee, C. M. C. and Swaminathan, B. (2001) Toward an implied cost of capital, Journal of Accounting Research 39, 135-176.
15. Grinblatt, M., Titman, S. and Wermers, R. (1995) Momentum investment strategies, portfolio performance and herding:Astudy of mutual fund behavior, Journal of Finance 85, 1088-1105.
16. Hong, H., Lim, T. and Stein, J. (2000) Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies, Journal of Finance 55, 265-295.
17. Jackson, A. R. (2005) Trade generation, reputation, and sell-side analysts, Journal of Finance 60, 673-717.
18. Jegadeesh, N., Kim, J., Krische, S. D. and Lee, C. M. C. (2004) Analyzing the analysts: When do recommendations add value? Journal of Finance 59, 1083-1124.
19. Jegadeesh, N. and Titman, S. (1993) Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91.
20. Jegadeesh, N. and Titman, S. (2001) Profitability of momentum strategies: An evaluation of alternative explanations, Journal of Finance 56, 699-720.
21. Kyle, A. S. (1985) Continuous auctions and insider trading, Econometrica 53, 1315-1335.
22. Lim, T. (2001) Rationality and analysts' forecast bias, Journal of Finance 56, 369-385.
23. McNichols, M. and O'Brien, P. (1997) Self-selection and analyst coverage, Journal of Accounting Research 353, 167-199.
24. Merton, R. C. and Bodie, Z. (2004) The design of financial systems: Towards a synthesis of function and structure. Journal of Investment Management 3, 1-23.
25. Michaely, R. and Womack, K. L. (1999) Conflict of interest and the credibility of underwriter analyst recommendations, Review of Financial Studies 12, 653-686.
26. Miller, E. (1977) Risk, uncertainty, and divergence of opinion, Journal of Finance 32, 1151-1168.
27. Newey, W. K. and West, K. D. (1987) A simple, positive-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
28. Odean, T. (1998) Are investors reluctant to realize their losses? Journal of Finance 53, 1775-1798.
29. Sadka, R. and Scherbina, A. (2006) Analyst disagreement, mispricing and liquidity, Journal of Finance, forthcoming.
30. Viswanathan, S. (2001) Strategic trading, heterogeneous beliefs/information and short constraints. Working Paper.
31. Wermers, R. (1997) Momentum investment strategies ofmutual funds, performance persistence, and survivorship bias. University of Maryland Working Paper.