This paper investigates the financing behaviour of Dutch firms by testing whether a firm’s financing decisions are determined by certain factors identified in various theories. Since a firm’s financing decision is reflected in the changes of its leverage, our research focuses on the...

This paper uses the structural equation modeling (SEM) technique to empirically test the determinants of capital structure choice for Dutch firms. We include major factors identified by capital structure theories and construct proxies for these factors with consideration of specific...

Existing literature documents that cross-sectional stock returns exhibit both price momentum and earnings momentum. In this paper, we examine whether commonly used style and sector indexes also have momentum patterns. We show that style indexes exhibit strong price momentum, but little evidence...

Holding earnings surprise constant, investors react negatively to late earnings announcements. One standard deviation of announcement delay (about 5 days) corresponds to 23 bps lower abnormal returns over a two-day announcement window. We show that the results are robust to further controlling...

Using a clean sample of private equity placements over the period of 1999 to 2012, we examine the effects of trading restrictions on the discounts on private placements. Classifying various determinants into three categories, namely risk, illiquidity, and marketability, we show that risk and...

The idiosyncratic volatility anomaly, as first documented in Ang, Hodrick, Xing, and Zhang (2006), has received considerable attention in the literature. In this paper, we examine the pervasiveness of the anomaly in various stock samples and provide evidence towards distinguishing potential...

We examine the role of institutional investors underlying post-earnings-announcement drift (PEAD). Our results show that while institutional investors generally herd on earnings news, such correlated trading among institutions does not eliminate or reduce market underreaction to earnings...

Bloomberg and Briefing.com provide competing forecasts for pre-scheduled macroeconomic announcements. This paper examines the accuracy of these forecasts and market reactions to announcement surprises. Our results show that the Bloomberg survey is slightly more accurate than the Briefing.com...

We show evidence that consistent with category-learning behavior, investors allocate more attention to macroeconomic news than to firm-specific news, such as earnings announcements. Despite the distracting effect of macroeconomic news on investor attention, we find that earnings announcements...

In this paper, we show that conditions derived under the CAPM ensure only weak exogeneity in a linear regression setting. Since strong exogeneity is not guaranteed, the OLS estimator of CAPM beta is only consistent but not necessarily unbiased. We provide empirical evidence that individual daily...