Market Frictions, Price Delay, and the Cross-Section of Expected Returns

By Kewei Hou, Tobias J. Moskowitz. 2003

1,020 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a50fed1b3a28754f3d0c1977f108770e6697e294

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Citations in the corpus

Did CDS Trading Improve the Market for Corporate Bonds (2014, neutral): “This measure is denoted D1 = 1 − ( Constrained R2 Unconstrained R2 ) ∈ (0, 1) The higher the D1 measure is, the greater the extent to which current bond returns are explained by lagged information: D1 is a measure of bond inefficiency (Hou and Moskowitz (2005)).”
Short Selling and the Price Discovery Process (2013, methodology): “Bartov, Radhakrishman, and Krinsky (2000) and Ke and Ramalingegowda (2005) show that institutional investors are sophisticated investors who exploit earnings patterns, so we include lastquarter institutional holdings scaled by shares outstanding as a control.”
Insider Trading in Credit Derivatives (2005, neutral): “Our study integrates two different strands of literature (and also synthesizes analysis of the respective datasets): banking – the specialness of banks in possessing private information about their borrowers (Fama (1985), James (1987)); and, market microstructure – the strategic use of private infor”
Crowdsourced employer reviews and stock returns (2019, methodology): “Huang and Q. Wen et Journal of Financial Economics, https://doi.org/10.1016/j.jfineco.2 (1997) instead of factor models, and we also measure abnormal performance using industry-adjusted returns following Moskowitz and Grinblatt (1999) to address concerns that the results could be driven by industry ”
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014, background): “…Stein (2000)); investor inattention that leads to a delay with which prices incorporate information (Ramnath (2002), Hirshleifer and Teoh (2003), Hou and Moskowitz (2005)), Peng and Xiong (2006), Hong, Torous, and Valkanov (2007), and Hou, Peng, and Xiong (2009)), and heterogeneity across…”
Limited Investor Attention and Stock Market Misreactions to Accounting Information (2011, background): “revenues have greater persistence than expenses, drift should be especially strong if the earnings surprise comes largely from a surprise in revenues (Jegadeesh and Livnat (2006)). Jegadeesh and Livnat (2006) and Gu, Jain, and Ramnath (2005) nd that analyst forecasts also do not fully re ect di eren”
Size matters, if you control your junk (2018, positive): “…with these theories, the returns to size seem to be captured by measures of illiquidity suggested by Brennan and Subrahmanyam (1996), Amihud (2002), Hou and Moskowitz (2005), Sadka (2006) , and Ibbotson et al. (2013) , and measures of liquidity risk (the covariance with changes in liquidity) such…”
Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets (2010, methodology): “The other efficiency measure we use reflects the degree to which returns respond to past market returns and is similar to the delay measure of Mech (1993) and Hou and Moskowitz (2005).”