Documents disponibles écrits par cet auteur

Calendar cycles, infrequent decisions, and the cross section of stock returns / Ravi Jagannathan in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 507-522 Titre : Calendar cycles, infrequent decisions, and the cross section of stock returns Type de document : texte imprimé Auteurs : Ravi Jagannathan, Auteur ; Srikant Marakani, Auteur ; Hitoshi Takehara, Auteur Année de publication : 2012 Article en page(s) : pp. 507-522 Note générale : Management Langues : Anglais (eng) Mots-clés : CCAPM  Japanese  stock  market  UK  stock  market  Cross  section  of  stock  returns  Infrequent  decisions  Deterministic  cycles  Calendar  cycles Résumé : We show that when investors review their consumption and investment plans infrequently at different points in time with interim information flows, the standard consumption-based capital asset pricing model (CCAPM) will continue to hold only at those points in time when all investors review their plans. Stylized facts suggest that the end of the tax year is a candidate for one such points in time. Therefore, we should expect more support for the CCAPM during the period surrounding the end of the tax year, i.e., the fourth and first quarters in Japan where the tax year ends in December, and the first and second quarters in the United Kingdom where the tax year ends in April. Our empirical findings are consistent with these expectations. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Calendar cycles, infrequent decisions, and the cross section of stock returns [texte imprimé] / Ravi Jagannathan, Auteur ; Srikant Marakani, Auteur ; Hitoshi Takehara, Auteur . - 2012 . - pp. 507-522. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 507-522 Mots-clés : CCAPM  Japanese  stock  market  UK  stock  market  Cross  section  of  stock  returns  Infrequent  decisions  Deterministic  cycles  Calendar  cycles Résumé : We show that when investors review their consumption and investment plans infrequently at different points in time with interim information flows, the standard consumption-based capital asset pricing model (CCAPM) will continue to hold only at those points in time when all investors review their plans. Stylized facts suggest that the end of the tax year is a candidate for one such points in time. Therefore, we should expect more support for the CCAPM during the period surrounding the end of the tax year, i.e., the fourth and first quarters in Japan where the tax year ends in December, and the first and second quarters in the United Kingdom where the tax year ends in April. Our empirical findings are consistent with these expectations. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc