Lagged factors affecting Berkshire Hathaway returns

Christopherson, Robert; Gregoriou, Greg N.

doi:10.1057/palgrave.jam.2240145

J Asset Manag

2004

DOI: 10.1057/palgrave.jam.2240145

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Lagged factors affecting Berkshire Hathaway returns

Robert Christopherson

Greg N. Gregoriou

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2015

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Do Investor Clienteles Have A Differential Impact On Price And Volatility? The Case Of Berkshire Hathaway

Casey

2015

JIIBR

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The purpose of this research is to determine whether investor clienteles react in a different manner to the same information. Applying a technique developed by He (2012) to a firm like Berkshire Hathaway with two different classes of common stock allows us to test whether investor clienteles react in differential ways to the same information while holding other factors constant. Using a method developed by He (2012) we create an investor sentiment index (SE) to forecast prices of Berkshire Hathaway class A and class B shares. We find evidence that reactions of class A shareholders to news are more volatile, compared with class B. There is no evidence that volatility of SE can significantly affect the accuracy of forecasting. However, results of this study suggest that a more volatile SE index may lead to more unsteady outcomes in some rolling forecasts. The volatility differences in SE index and rolling forecasts stem from differential investor clienteles and their reactions the same news.

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Do Investor Clienteles Have A Differential Impact On Price And Volatility? The Case Of Berkshire Hathaway

Casey

2015

JIIBR

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Lagged factors affecting Berkshire Hathaway returns

Cited by 1 publication

References 2 publications

Do Investor Clienteles Have A Differential Impact On Price And Volatility? The Case Of Berkshire Hathaway

Do Investor Clienteles Have A Differential Impact On Price And Volatility? The Case Of Berkshire Hathaway

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