Discussion of “Information Uncertainty and Expected Returns”

Paul Schultz ()
Additional contact information
Paul Schultz: University of Notre Dame

Review of Accounting Studies, 2005, vol. 10, issue 2, No 5, 223-226

Abstract: Abstract Jiang, Lee, and Zhang (Review of Accounting Studies, 2005, this issue) show that stock returns are smaller for young firms, volatile stocks, high volume stocks, and stocks with long equity durations. In addition to having lower returns, momentum effects are particularly strong in these stocks. The focus of this discussion is on the informal behavioral model that is used to explain these results and how well the variables used in the study proxy for information uncertainty, the model’s focus.

Keywords: behavioral finance; momentum (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11142-005-1529-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:reaccs:v:10:y:2005:i:2:d:10.1007_s11142-005-1529-1

Ordering information: This journal article can be ordered from
http://www.springer.com/accounting/journal/11142

DOI: 10.1007/s11142-005-1529-1

Access Statistics for this article

Review of Accounting Studies is currently edited by Paul Fischer

More articles in Review of Accounting Studies from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().