Főoldal  |  Esemény  |  KTI szeminárium – Neszveda Gábor (Corvinus) – 2019. május 30.

KTI szeminárium – Neszveda Gábor (Corvinus) – 2019. május 30.

2019.05.30. - 2019.05.30. 14:00 - 16:00

Helyszín: MTA Humán Tudományok Kutatóháza, 1097 Budapest, Tóth Kálmán utca 4. fszt. K13-14.

Neszveda Gábor (Corvinus)
Aspiration Level, Probability of Success, and Stock Returns: An Empirical Test
The probability of achieving the aspiration level, i.e., the probability of success, is an important aspect of decision-making under risk according to empirical evidence. Motivated by this evidence, I test the hypothesis that stocks with high probability of success have a lower expected return than stocks with low probability of success. I investigate several specifications for the aspiration level returns such as the zero return, the risk-free rate, the market return, and the industry average return. I find a significant negative relation between the probability of success and the expected stock returns. Probability of success retains its substantial predictive power for future returns even after controlling for common risk factors and a set of characteristics in both portfolio-level analyses and firm-level cross-sectional regressions. I also exclude several alternative explanations.

Felhasználási feltételek
Impresszum
Intézményünk országos ésnemzetközi hálózati kapcsolatátaz NIIF program biztosítja
Közgazdaság- és Regionális Tudományi Kutatóközpont Közgazdaság-tudományi Intézet
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