On Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns

By Avanidhar Subrahmanyam. 2003

125 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6c141cffda6f30434876acb68a679f22ca2504f2

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In Management Science and Operations Research

Citations in the corpus

Trading imbalances, predictable reversals, and cross-stock price pressure (2008, background): “Our approach addresses concerns that a large number of buy (sell) orders during a given week increases the probability that prices end the week at the ask (bid) price (see Blume and Stambaugh, 1983; Chordia and Subrahmanyam, 2004; Subrahmanyam, 2005b).”
Overreaction to Intra-Industry Information Transfers? (2008, unknown): “The first such explanation is suggested by the price reversals documented in the Finance literature (e.g., Jegadeesh 1990; Lehmann 1990; Jegadeesh and Titman 1995a; Subrahmanyam 2005) for very short windows (e.”
The Long-Lasting Momentum in Weekly Returns (2008, methodology): “Following Subrahmanyam (2005), we include trading volume in week t as a control.”
Price Momentum and Idiosyncratic Volatility (2008, unknown): “At shorter horizons, there is evidence of return reversals (e.g., Subrahmanyam, 2005 ).”
Caught on tape: Institutional trading, stock returns, and earnings announcements (2009, background): “This result is robust to lagging the independent variables an additional day to avoid bid–ask bounce, and has been described as the ‘‘weekly reversal’’ effect in the literature (Subrahmanyam, 2005).”
Extrapolative beliefs in the cross-section: What can we learn from the crowds? (2020, unknown): “As such, extrapolative expectation can be another important contributor to the well-documented short-term return reversal phenomenon, consistent with Subrahmanyam (2005) .”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, unknown): “While Cooper (1999) and Subrahmanyam (2005) suggest that overreaction is the cause of this phenomenon, Avramov et al. (2006) indicate that part of the phenomenon may be caused by illiquidity-related price reversals.”
News-Driven Return Reversals: Liquidity Provision Ahead of Earnings Announcements (2014, background): “Thus, studies weighing behavioral explanations for reversal patterns should consider how their explanations reconcile with predictable spikes and declines in reversal magnitudes around earnings announcements (e.g., Subrahmanyam, 2005; Da, Liu, and Schaumburg, 2014).”
Marketing and Firm Value: Metrics, Methods, Findings, and Future Directions (2009, unknown): “…attempts to create, ostensibly for customer marketing purposes, can spill over onto investors and increase the firm’s salience with individual investors, who typically prefer holding stocks that are well known or familiar to them (Frieder and Subrahmanyam 2005; Grullon, Kanatas, and Weston 2004).”