Search Results - "Lakonishok, Josef"

The Stock Market Valuation of Research and Development Expenditures by Chan, Louis K. C., Lakonishok, Josef, Sougiannis, Theodore

“…We examine whether stock prices fully value firms' intangible assets, specifically research and development (R&D). Under current U.S. accounting standards,…”
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Stock Repurchases in Canada: Performance and Strategic Trading by Ikenberry, David, Lakonishok, Josef, Vermaelen, Theo

“…During the 1980s, U.S. firms announcing stock repurchases earned favorable longrun returns. Recently, concerns have been raised over the robustness of these…”
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Contrarian Investment, Extrapolation, and Risk by LAKONISHOK, JOSEF, SHLEIFER, ANDREI, VISHNY, ROBERT W.

“…For many years, scholars and investment professionals have argued that value strategies outperform the market. These value strategies call for buying stocks…”
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Momentum Strategies by CHAN, LOUIS K. C., JEGADEESH, NARASIMHAN, LAKONISHOK, JOSEF

“…We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings…”
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Simple Technical Trading Rules and the Stochastic Properties of Stock Returns by BROCK, WILLIAM, LAKONISHOK, JOSEF, LeBARON, BLAKE

“…This paper tests two of the simplest and most popular trading rules--moving average and trading range break-by utilizing the Dow Jones Index from 1897 to 1986…”
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Value and Growth Investing: Review and Update by Louis K. C. Chan, Lakonishok, Josef

“…A great deal of academic empirical research has been published on value and growth investing. We review and update this literature, discuss the various…”
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On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model by Louis K. C. Chan, Karceski, Jason, Lakonishok, Josef

“…We evaluate the performance of models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. We compare the…”
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The Behavior of Stock Prices Around Institutional Trades by CHAN, LOUIS K. C., LAKONISHOK, JOSEF

“…All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire…”
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Benchmarking Money Manager Performance: Issues and Evidence by Chan, Louis K. C., Dimmock, Stephen G., Lakonishok, Josef

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Fundamentals and Stock Returns in Japan by CHAN, LOUIS K. C., HAMAO, YASUSHI, LAKONISHOK, JOSEF

“…This paper relates cross-sectional differences in returns on Japanese stocks to the underlying behavior of four variables: earnings yield, size, book to market…”
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Institutional Equity Trading Costs: NYSE Versus Nasdaq by CHAN, LOUIS K. C., LAKONISHOK, JOSEF

“…We compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and Nasdaq for institutional investors. The differences in…”
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Are Insider Trades Informative? by Lakonishok, Josef, Lee, Inmoo

“…We examine insider trading activities of all companies traded on the NYSE, AMEX, and Nasdaq during the 1975-1995 period. In general, very little market…”
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Option Market Activity by Lakonishok, Josef, Lee, Inmoo, Pearson, Neil D., Poteshman, Allen M.

“…This article uses a unique option data set to provide detailed descriptive statistics on the purchased and written open interest and open buy and sell volume…”
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Analysts' Conflicts of Interest and Biases in Earnings Forecasts by Chan, Louis K. C., Karceski, Jason, Lakonishok, Josef

“…Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along…”
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Industry Classifications and Return Comovement by Louis K. C. Chan, Lakonishok, Josef, Swaminathan, Bhaskaran

“…A company's industry affiliation is commonly used to construct homogeneous stock groupings for portfolio risk management, relative valuation, and peer-group…”
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Market underreaction to open market share repurchases by Ikenberry, David, Lakonishok, Josef, Vermaelen, Theo

“…We examine long-run firm performance following open market share repurchase announcements, 1980–1990. We find that the average abnormal four-year buy-and-hold…”
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Benchmarking Money Manager Performance: Issues and Evidence by Chan, Louis K. C., Dimmock, Stephen G., Lakonishok, Josef

“…Academic and practitioner research evaluates portfolio performance using size and value/growth attributes or factors. We assess the merits of popular…”
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The Level and Persistence of Growth Rates by Chan, Louis K. C., Karceski, Jason, Lakonishok, Josef

“…Expectations about long-term earnings growth are crucial to valuation models and cost of capital estimates. We analyze historical long-term growth rates across…”
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The Weekend Effect: Trading Patterns of Individual and Institutional Investors by LAKONISHOK, JOSEF, MABERLY, EDWIN

“…In this paper, we document regularities in trading patterns of individual and institutional investors related to the day of the week. We find a relative…”
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Are Seasonal Anomalies Real? A Ninety-Year Perspective by Lakonishok, Josef, Smidt, Seymour

“…This study uses 90 years of daily data on the Dow Jones Industrial Average to test for the existence of persistent seasonal patterns in the rates of return…”
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