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Inside the Minds of Expected Stock Returns

SSRN Electronic Journal
2023
  • 0
    Citations
  • 2,347
    Usage
  • 4
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Usage
    2,347
    • Abstract Views
      1,917
    • Downloads
      430
  • Captures
    4
  • Ratings
    • Download Rank
      136,307

Article Description

Our paper examines sell-side analyst reports and online stock opinion articles, which recommend that investors buy stocks that, based on prior literature, trade at comparatively high prices and earn low future returns. We conduct textual analysis and test whether the justifications provided in these buy recommendations mostly (1) emphasize a stock’s safe-haven quality, (2) indicate general investor exuberance, or (3) point to a specific preference for stocks with high upside potential. We find that the buy recommendations mostly emphasize stocks’ upside potential. Our results suggest that non-traditional investor preferences play a material role in explaining the cross-section of expected stock returns.

Bibliographic Details

Hailiang Chen; Byoung-Hyoun Hwang; Zhuozhen Peng

Elsevier BV

Cross-Section of Expected Stock Returns; Anomalies; Risk; Behavioral Finance; Textual Analysis

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