In:
PLOS ONE, Public Library of Science (PLoS), Vol. 18, No. 8 ( 2023-8-30), p. e0290500-
Abstract:
This paper introduces the market framing bias (MFB): a framing effect that affects the return-risk tradeoff under different frameworks of aggregate market losses and profits, which is measured by the absolute difference between betas in the rising and falling markets. The paper finds that the MFB can predict lower future stock return on the cross-section. Specifically, after controlling for various firm-specific characteristics, this predictive power of the FMB declines over time. Furthermore, the predictive power of the FMB is stable in the short term even after controlling for various pricing factors and firm-specific characteristics.
Type of Medium:
Online Resource
ISSN:
1932-6203
DOI:
10.1371/journal.pone.0290500
DOI:
10.1371/journal.pone.0290500.t001
DOI:
10.1371/journal.pone.0290500.t002
DOI:
10.1371/journal.pone.0290500.t003
DOI:
10.1371/journal.pone.0290500.t004
DOI:
10.1371/journal.pone.0290500.t005
DOI:
10.1371/journal.pone.0290500.t006
DOI:
10.1371/journal.pone.0290500.t007
DOI:
10.1371/journal.pone.0290500.t008
DOI:
10.1371/journal.pone.0290500.t009
DOI:
10.1371/journal.pone.0290500.s001
DOI:
10.1371/journal.pone.0290500.s002
DOI:
10.1371/journal.pone.0290500.s003
DOI:
10.1371/journal.pone.0290500.s004
DOI:
10.1371/journal.pone.0290500.r001
DOI:
10.1371/journal.pone.0290500.r002
DOI:
10.1371/journal.pone.0290500.r003
DOI:
10.1371/journal.pone.0290500.r004
DOI:
10.1371/journal.pone.0290500.r005
DOI:
10.1371/journal.pone.0290500.r006
Language:
English
Publisher:
Public Library of Science (PLoS)
Publication Date:
2023
detail.hit.zdb_id:
2267670-3
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