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Changes in firm profitability, heterogeneous investor beliefs, and stock returns

Liu, Yifang; Yang, Baochen; Su, Yunpeng - In: Journal of management science and engineering 8 (2023) 2, pp. 258-272

to explain the profitability premium. We find that risk-based q-theory also helps explain the profitability premium …. Therefore, the profitability premium comes from a mixed source and cannot be entirely explained by a single theory. …

Persistent link: https://www.econbiz.de/10014315961

Modeling market expectations of profitability mean reversion : a comparative analysis of adjustment models

Vlčková, Miroslava; Buus, Tomáš - In: International Journal of Financial Studies : open … 13 (2025) 3, pp. 1-26

This paper investigates how market expectations regarding profitability mean reversion are reflected in stock prices. We propose a model that infers implicit expectations of future earnings using publicly available share prices based on the assumption that markets efficiently incorporate...

Persistent link: https://www.econbiz.de/10015462986

An event study of potential insider trading in the Saudi stock market

Alqurayn, Abdulrhman; Kulendran, Nada; Ihalanayake, Ranjith - In: Cogent economics & finance 12 (2024) 1, pp. 1-18

This study assesses the level of potential insider trading on the Saudi stock market (Tadawul) before and after the introduction of financial reforms. The level of potential insider trading is estimated by employing the market cleanliness measure (MCM) which determines the proportion of...

Persistent link: https://www.econbiz.de/10015375197

Impact of macroeconomic policy uncertainty on opportunistic insider trading

Cai, Chun; Bao, Ruixue; Wang, Peng; Yang, Huiyan - In: China journal of accounting research : CJAR 15 (2022) 4, pp. 1-21

The macroeconomic policy environment affects the internal governance of microenterprises, which may provide opportunities for management to benefit from stock sales while decreasing its motivation to manipulate stock transactions. Using a sample of Chinese A-share listed companies from 2007 to...

Persistent link: https://www.econbiz.de/10013541711

Insider trading and fraudulent share repurchase

Wang, Du; Li, Xiang; Tang, Hui; Sun, Yicheng - In: Credit and capital markets : Kredit und Kapital 55 (2022) 2, pp. 227-260

Share repurchase conveys information to investors and influences stock price in capital market. Normally when a company announces share buyback, the company's stock price will rise immediately. Thus, some insiders may take advantage of this pattern and create a fake repurchase event. When the...

Persistent link: https://www.econbiz.de/10014518581

Post-earnings announcement drift : evidence from Turkey

Ahlatcıoğlu, Aykut; Okay, Nesrin - In: Borsa Istanbul Review 21 (2021) 1, pp. 92-103

We study the post-earnings announcement drift (PEAD) anomaly and its determinants in Borsa Istanbul using quarterly earnings announcements and three different surprise measures. We find evidence supportive of the existence of PEAD in the Turkish stock market. Sorting stocks each quarter into...

Persistent link: https://www.econbiz.de/10012816435

The effect of short-term return reversals on momentum profits

Sim, Myounghwa; Kim, Hee-Eun - In: Journal of derivatives and quantitative studies : … 29 (2021) 3, pp. 174-189

The authors investigate the effect of a short-term stock return reversal on the term structure of momentum profits in the Korean stock market following Goyal and Wahal (2015). Their empirical findings show that the term structure of momentum is more pronounced when a return reversal lasts up to...

Persistent link: https://www.econbiz.de/10012658720

Post-earning announcement drift and value-glamour anomalies in NSE listed firms

Gupta, Pankaj Kumar; Dhusia, Devendra Kumar - In: Trends economics and management 15 (2021) 37, pp. 27-42

Purpose of the article: Of the various market anomalies, the Value-Glamour anomaly and Post-Earnings Announcement Drifts (PEAD) have consistently attracted the attention of researchers. Prior studies have established that the reaction of value stocks and glamour stocks to the earnings...

Persistent link: https://www.econbiz.de/10012606896

What information in financial statements could be used to predict the risk of equity investment?

Liu, Min - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

) and abnormal changes in profit margins (ABPM) to measure the uncertainty embedded in the accounting earnings. I measure … ABG (ABPM) as the difference between the current value of sales growth rate (profit margin) and its benchmark, a weighted … value of the three preceding years’ sales growth rate (profit margin). Then, I quantify whether and to what extent the news …

Persistent link: https://www.econbiz.de/10012626688

Earnings quality and book-to-marketin the cross section of expected returns

Athanasakou, Vasiliki; Athanassakos, George - In: Multinational finance journal 23 (2019) 3/4, pp. 169-210

Persistent link: https://www.econbiz.de/10012590831