Competing Theories of Financial Anomalies

By Alon Brav, J. B. Heaton, Bartlit Associate, Herman Beck, Palenchar, Scott, Nicholas Barberis, E. Berkovitch, Craig R. Fox, J. Graham and 20 more. 2002

456 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a7f00253380dba99d0517719f714c67890d2c151

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Citations in the corpus

Soft information in earnings announcements: news or noise? (2008, background): “11 Brav and Heaton (2002), among others, predict that the information of firms that face more uncertain environments will be incorporated into asset prices more slowly.”
Forecasting the New York stock exchange composite index with past price and interest rate on condition of volume spike (2005, background): “These reports which challenge the EMH make up the ‘anomalies’ literature of academic finance (Brav & Heaton, 2002; Fortune, 1991), to which this paper is another contribution.”
Expected Returns, Yield Spreads, and Asset Pricing Tests (2005, unknown): “Empirically, Eq.”
Good Times or Bad Times? Investors' Uncertainty and Stock Returns (2009, unknown): “They state that at any given 9 See Filardo (1994); Diebold, Lee, and Weinbach (1994); Durland and McCurdy (1994); and Gray (1996). point in time, the expected return and risk both depend on the underlying state of the economy, which, with some probability, changes from one state to another over time”
On the value relevance of customer satisfaction. Multiple drivers and multiple markets (2012, background): “Assuming that investors process information rationally (Brav and Heaton 2002; Brennan and Xia 2001), they do not equally weight the value relevance of any information related to customer satisfaction but rather weight this information with regard to the predicted magnitude of its impact on future sa”
An Empirical Analysis of Analysts' Target Prices: Short Term Informativeness and Long Term Dynamics (2003, unknown): “…revision to their target price behave like other ‘‘winner’’ (‘‘loser’’) ¢rms.19 The abnormal return evidence presented in this section is consistent bothwith an irrational ‘‘underreaction’’ interpretation (e.g., Jegadeesh and Titman (1993)) and with rational learning (Brav and Heaton (2002)).”
Disagreement and Learning: Dynamic Patterns of Trade (2010, unknown): “Moreover, as Brav and Heaton (2002) point out, models in which investors exhibit “rational structural uncertainty” and differences of opinion are often observationally and mathematically equivalent to models in which investors exhibit behavioral biases.”
Ambiguity, Information Quality and Asset Pricing (2008, background): “17See, Brav and Heaton [8] for an overview and discussion of this literature.”
Crisis Management Strategies and the Long-Term Effects of Product Recalls on Firm Value (2017, background): “…ranging from costs of the recall to the firm’s actions to alleviate the adverse financial impact (Govindaraj, Jaggi, and Lin 2004), helping investors update their beliefs about future cash flows and resulting in a change to the long-term firm value (Brav and Heaton 2002; Brennan and Xia 2001).”
Information Uncertainty and Post-Earnings-Announcement-Drift (2007, unknown): “Because it is not always possible to distinguish between this rational explanation and competing irrational explanations (Brav and Heaton, 2002), we cannot definitively conclude whether investors’ rational responses to information uncertainty or their irrational cognitive biases offer a more convinc”