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Toward an Implied Cost of Capital
In this study, we propose an alternative technique for estimating the cost of equity capital. Specifically, we use a discounted residual income model to generate a market implied cost-of-capital. WeExpand
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Inferring Trade Direction from Intraday Data
This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. The authors document two potential problems withExpand
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Accounting valuation, market expectation, and cross-sectional stock returns
Abstract This study examines the usefulness of an analyst-based valuation model in predicting cross-sectional stock returns. We estimate firms' fundamental values (V) using I/B/E/S consensusExpand
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Price Momentum and Trading Volume
This study shows that past trading volume provides an important link between “momentum” and “value” strategies. Specifically, we find that firms with high ~low! past turnover ratios exhibit manyExpand
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Tunneling through intercorporate loans: The China experience☆
This study investigates a particularly brazen form of corporate abuse, in which controlling shareholders use intercorporate loans to siphon billions of RMB from hundreds of Chinese listed companiesExpand
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Investor Sentiment and the Closed-End Fund Puzzle
This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theoryExpand
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Retail Investor Sentiment and Return Comovements
Using a database of more than 1.85 million retail investor transactions over 1991–1996, we show that these trades are systematically correlated—that is, individuals buy (or sell) stocks in concert.Expand
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Earnings news and small traders : An intraday analysis
Abstract This study separates trading volume into buyer- and seller-initiated activities and examines the directional volume reaction in small and large trades to different types of earnings news.Expand
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Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis
For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipationExpand
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What is the Intrinsic Value of the Dow
We model the time-series relation between price and intrinsic value as a cointegrated system, so that price and value are long-term convergent. In this framework, we compare the performance ofExpand
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