کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960352 | 929445 | 2007 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Do asset prices reflect fundamentals? Freshly squeezed evidence from the OJ market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. In contrast, we show that when theory clearly identifies the fundamental, e.g., at temperatures close to or below freezing, a close link exists between FCOJ prices and that fundamental. Using a simple, theoretically motivated, nonlinear, state dependent model, we can explain approximately 50% of the return variation on days with freezing temperatures. Moreover, while these observations represent less than 4.5% of the winter sample, they account for two-thirds of the entire winter return variability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 83, Issue 2, February 2007, Pages 397–412
Journal: Journal of Financial Economics - Volume 83, Issue 2, February 2007, Pages 397–412
نویسندگان
Jacob Boudoukh, Matthew Richardson, YuQing (Jeff) Shen, Robert F. Whitelaw,