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Article: Psychological Barrier and Cross-firm Return Predictability

TitlePsychological Barrier and Cross-firm Return Predictability
Authors
Huang, SLin, TCXiang, H
KeywordsCross-firm return predictability
Psychological barrier
52-week high
Customer momentum
Issue Date2021
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec
Citation
Journal of Financial Economics, 2021, v. 142 n. 1, p. 338-356 How to Cite?
DOI: http://dx.doi.org/10.1016/j.jfineco.2021.06.006
AbstractWe provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms and the nearness to the 52-week high can partially explain the underreaction to news about customers, geographic neighbors, industry peers, or foreign industries. We also find that analysts react to news about economically linked firms but the 52-week high effect reduces such reactions, providing direct evidence that the 52-week high affects the belief-updating process.
Persistent Identifierhttp://hdl.handle.net/10722/300656
ISSN
0304-405X
2023 Impact Factor: 10.4
2023 SCImago Journal Rankings: 13.655
ISI Accession Number ID
WOS:000687966200015

 

DC FieldValueLanguage
dc.contributor.authorHuang, S-
dc.contributor.authorLin, TC-
dc.contributor.authorXiang, H-
dc.date.accessioned2021-06-18T14:55:07Z-
dc.date.available2021-06-18T14:55:07Z-
dc.date.issued2021-
dc.identifier.citationJournal of Financial Economics, 2021, v. 142 n. 1, p. 338-356-
dc.identifier.issn0304-405X-
dc.identifier.urihttp://hdl.handle.net/10722/300656-
dc.description.abstractWe provide a psychological explanation for the delayed price response to news about economically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms and the nearness to the 52-week high can partially explain the underreaction to news about customers, geographic neighbors, industry peers, or foreign industries. We also find that analysts react to news about economically linked firms but the 52-week high effect reduces such reactions, providing direct evidence that the 52-week high affects the belief-updating process.-
dc.languageeng-
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jfec-
dc.relation.ispartofJournal of Financial Economics-
dc.subjectCross-firm return predictability-
dc.subjectPsychological barrier-
dc.subject52-week high-
dc.subjectCustomer momentum-
dc.titlePsychological Barrier and Cross-firm Return Predictability-
dc.typeArticle-
dc.identifier.emailHuang, S: huangsy@hku.hk-
dc.identifier.emailLin, TC: chunlin@hku.hk-
dc.identifier.authorityHuang, S=rp02052-
dc.identifier.authorityLin, TC=rp01077-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.jfineco.2021.06.006-
dc.identifier.scopuseid_2-s2.0-85114057363-
dc.identifier.hkuros322871-
dc.identifier.volume142-
dc.identifier.issue1-
dc.identifier.spage338-
dc.identifier.epage356-
dc.identifier.isiWOS:000687966200015-
dc.publisher.placeNetherlands-

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