“…In support of this, the blue area in every size group shrinks from S1 to S5 in the U.S. and Chinese markets. The slower process of microcaps incorporating information into prices may result from their illiquidity (Amihud and Mendelson, 1986;Lin et al, 2018) or behavioral biases (Shleifer and Vishny, 1997;Carpentier et al, 2018). is consistent with the literature (e.g., Lo, 2004Lo, , 2005Urquhart and Hudson, 2013;Urquhart and McGroarty, 2014).…”
Using a sample of U.S. and Chinese stocks between July 1999 and June 2016, we investigate the pricing role of informational inefficiency in stock markets. We find that the relations between returns and the informational inefficiency factor statistically change from significantly positive, to insignificant, and further to significantly negative as informational efficiency increases. This finding provides new insights into the common belief that emerging markets are less efficient than developed markets. We propose new factor models for less efficient markets. Our conclusions are robust to altering the ways of sorting portfolios, to various subsample analyses, and to alternative factor models.
“…In support of this, the blue area in every size group shrinks from S1 to S5 in the U.S. and Chinese markets. The slower process of microcaps incorporating information into prices may result from their illiquidity (Amihud and Mendelson, 1986;Lin et al, 2018) or behavioral biases (Shleifer and Vishny, 1997;Carpentier et al, 2018). is consistent with the literature (e.g., Lo, 2004Lo, , 2005Urquhart and Hudson, 2013;Urquhart and McGroarty, 2014).…”
Using a sample of U.S. and Chinese stocks between July 1999 and June 2016, we investigate the pricing role of informational inefficiency in stock markets. We find that the relations between returns and the informational inefficiency factor statistically change from significantly positive, to insignificant, and further to significantly negative as informational efficiency increases. This finding provides new insights into the common belief that emerging markets are less efficient than developed markets. We propose new factor models for less efficient markets. Our conclusions are robust to altering the ways of sorting portfolios, to various subsample analyses, and to alternative factor models.
This article explores the extent that the long‐run returns following initial public offerings (IPOs) can explain the asserted decrease in IPOs in Canada. The causes of such a decrease remain controversial, in part because of our limited knowledge of this market. We first describe in detail the evolution of Canadian IPOs on the senior and the venture stock exchanges over three decades (1986–2016). This evolution differs considerably between natural resource and non‐natural resource firms. Second, using other junior markets as a benchmark, we show that the Canadian IPO market is very particular, mainly because it lists very small firms at an early development stage. Third, using 2,145 Canadian IPOs, we provide evidence that these IPOs generate three‐year negative average abnormal returns, and more than 70 percent report negative abnormal returns. Large issuers reporting profits constitute the only subsample that provides fair returns, but they account for less than 5 percent of IPOs. Such a market probably survived for many decades because of investors' preference for skewness and the characteristics of the returns' distribution. We observe a high level of skewness of abnormal returns, consistent with the behavioral finance proposition that investors are often unduly optimistic when valuing lottery stocks.
“…И по крайней мере в одном исследовании - [Carpentier et al, 2018] демонстрируется, что высокие рыночные оценки убыточных компаний, выходящих на IPO, не являются иррациональностью инвесторов. Высокая оценка убыточных фирм не всегда объясняется поведенческими факторами.…”
Section: сдвиг поведенческих эвристик к модели «эффективного интерпре...unclassified
The last fifteen years are characterized by a sharp increase in the share of high-tech companies in terms of attracting investment resources in the world's leading stock markets. High-tech companies over this period significantly outpaced value stocks in terms of return on investment. On the one hand, what is happening is a natural process, since in the face of accelerating industry changes, both in traditional sectors and in sub-sectors of the new economy, there are more opportunities for the emergence of companies with disruptive innovations. High market capitalizations of such companies are a natural metric of fundamental shifts in the economy. On the other hand, the very nature of investment decision-making is changing, since an objective assessment of the intrinsic value of the business of high-tech companies is becoming vaguer, more controversial, dependent on future scenarios, and subject to interpretations. And these interpretations, according to the theory of reflexivity, are increasingly having a feedback effect on fundamentals, especially in high-tech companies.The purpose of this article is to conceptualize a new heuristic model of the “effective interpreter”, which, in the conditions of high reflexivity and narrative contexts of the stock market, has significantly diverged across a number of key attributes from the traditional model of the “rational investor”. The author compares the two models. The process of divergence of the two models occurs under the influence of a number of behavioral heuristics and cognitive biases. At the same time, the author emphasizes that a high narrative component in the value of companies does not always and necessarily mean the predominance of irrationality. Here it is more correct to assume some correlation between the rise of narrative decision contexts and the cognitive challenges of investment decision makers.As one of the possible directions for further research, the author notes the systematization of the main factors of cognitive biases, which seem to make switching to the “effective interpreter” model in portfolio investments in high-tech companies irreversible in the current conditions.
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