Abstract

http://ssrn.com/abstract=1762376
 
 

References (26)



 
 

Citations (4)



 


 



What Makes Stock Prices Move? Fundamentals vs. Investor Recognition


Scott A. Richardson


London Business School; AQR Capital Management, LLC

Richard G. Sloan


University of California at Berkeley - Haas School of Business

Haifeng You


Hong Kong University of Science & Technology - Department of Accounting

February 16, 2011


Abstract:     
We synthesize and extend recent research demonstrating that investor recognition is a distinct and significant determinant of stock price movements. Realized stock returns are strongly positively related to changes in investor recognition and expected returns are strongly negatively related to the level of investor recognition. Moreover, firms time their financing and investing decisions to exploit changes in investor recognition. Investor recognition dominates stock price movements over short horizons (e.g., one quarter), while fundamentals dominate over longer horizons (e.g., five years).

Number of Pages in PDF File: 37

Keywords: stock returns, fundamental analysis, investor recognition

JEL Classification: G12, G14, M41

working papers series


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Date posted: February 17, 2011 ; Last revised: April 23, 2014

Suggested Citation

Richardson, Scott A. and Sloan, Richard G. and You, Haifeng, What Makes Stock Prices Move? Fundamentals vs. Investor Recognition (February 16, 2011). Available at SSRN: http://ssrn.com/abstract=1762376 or http://dx.doi.org/10.2139/ssrn.1762376

Contact Information

Scott Anthony Richardson
London Business School ( email )
Sussex Place
Regent's Park
London, London NW1 4SA
United Kingdom
AQR Capital Management, LLC ( email )
Greenwich, CT
United States
Richard G. Sloan (Contact Author)
University of California at Berkeley - Haas School of Business ( email )
545 Student Services Building
Berkeley, CA 94720
United States
Haifeng You
Hong Kong University of Science & Technology - Department of Accounting ( email )
Clear Water Bay
Kowloon
Hong Kong
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