The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence

By A. Shapiro. 2000

126 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3e9ebf841de8799f67711cfbe5e5e659d59478e7

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Citations in the corpus

Do Foreigners Facilitate Information Transmission in Emerging Markets (2012, unknown): “11 We use the procedure proposed by Thompson (2011) mainly because it is computationally more stable for two-way clustering than the Petersen (2009) procedure, in particular, in the presence of industry,”
Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2003, unknown): “For instance, theories of incomplete markets and limited stock market participation (Merton (1987), Hirshleifer (1988), Basak and Cuoco (1998), Shapiro (2002)) or of neglected firms (Arbel and Strebel (1982), Arbel, Carvell, and Strebel (1983), Arbel (1985)) argue institutional forces and…”
Earnings Quality, Insider Trading, and Cost of Capital (2003, unknown): “based on the modified Jones model (Dechow, Sloan, and Sweeney [1995]) are highly correlated, with a Spearman rank order correlation coefficient at 0.”
The Role of Portfolio Constraints in the International Propagation of Shocks (2008, background): “See, for example, Basak and Croitoru (2000), Basak and Cuoco (1998), and Shapiro (2002).”
Cyclicality in Catastrophic and Operational Risk Measurements (2007, unknown): “Merton (1987) and Shapiro (2002) show that portfolio holdings of informationally constrained investors may be impacted by visibility, such that investors may eschew holdings of stocks of firms with negative visibility (e.g., resulting from catastrophic risk events). In addition, in this paper, we co”
The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation (2004, unknown): “In Merton’s model of segmented markets, which Shapiro (2002) extends in a dynamic, general equilibrium framework, investors fall into two categories: They are either informed or not informed about a security, and trade only in the securities of which they are aware.20 In effect, with segmented…”
Information and the Cost of Capital (2004, unknown): “5 Another important difference between our work and that of Wang[1991] or Admati [1985] is that these authors do not consider the role of public information.”
SEC Regulation Fair Disclosure, Information, and the Cost of Capital (2007, unknown): “The investor recognition hypothesis has received substantial empirical support (Kadlec and McConnell, 1994; Foerster and Karolyi, 1999; and more recently Kaniel et al., 2005) and has been extended in many directions (e.g, Basak and Cuoco, 1998; Shapiro, 2002).”