School of Banking and Finance
University of New South Wales
Sydney, NSW 2052, Australia
Information about this author at RePEc
NBER Working Papers and Publications
|October 2014||Growth Expectations, Dividend Yields, and Future Stock Returns|
with Zhi Da, Ravi Jagannathan: w20651
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts' near-term earnings forecasts that predicts US stock index returns well, with an out-of-sample R-squared that is consistently above 2% at monthly frequency over our sample period. Stock yield also predicts future stock index returns in the US and other G7 countries and returns of US stock portfolios formed by sorting stocks based on firm characteristics, at various horizons. The findings are consistent with a single dominant factor driving expected returns on stocks over different holding periods. T...
|November 2012||Building Castles in the Air: Evidence from Industry IPO Waves|
with Zhi Da, Ravi Jagannathan: w18555
We provide empirical support for the conventional wisdom that there are times when optimistic investors tend to build their hopes into castles in the air, and pay a large premium over intrinsic value for stocks of firms in the early stages of their life cycles with perceived growth opportunities. We use industry IPO waves containing a set of firms in the same industry that went public at about the same time in a cluster to identify those time periods and firms that are relatively homogenous and in the same early growth stages of their life cycles. We find that three years after an industry IPO wave ends, among the firms in the wave with relatively high historical sales growth rates, those with low gross margins are over-valued relative to firms with high gross margins. They under-perform t...
|March 2010||Information, analysts, and stock return comovement|
with Allaudeen Hameed, Randall Morck, Bernard Yeung: w15833
We examine information spillover as a source of stock return synchronicity, where information about highly-followed "prominent" stocks is used to price other "neglected" stocks sharing a common fundamental component. We find that stocks followed by few analysts co-move significantly with firm-specific fluctuations in the prices of highly followed stocks in the same industry, but do not observe the converse. This effect is more prominent in industries where analysts follow fewer stocks. Earnings forecast revisions for highly followed stocks cause price changes in little followed stocks, but the converse is again not observed. This is consistent with information spillover being primarily unidirectional - flowing from prominent to neglect stocks, but not vice versa. These findings also valida...
Published: Allaudeen Hameed & Randall Morck & Jianfeng Shen & Bernard Yeung, 2015. "Information, Analysts, and Stock Return Comovement," Review of Financial Studies, vol 28(11), pages 3153-3187. citation courtesy of