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Welch, Ivo - 2016

Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...

Persistent link: https://www.econbiz.de/10012456525

Tax-Loss Trading and Wash Sales

Grinblatt, Mark - 2002

An analysis of trades in the Finnish stock market around the turn of the year shows that Finnish investors tend to realize losses more than gains towards the end of December. They also buy back the same stocks they recently sold, with a repurchase rate that depends on the size of the capital...

Persistent link: https://www.econbiz.de/10012469970

No News is News : Do Markets Underreact to Nothing?

Giglio, Stefano - 2013

As illustrated in the tale of "the dog that did not bark," the absence of news and the passage of time often contain … after merger announcement, the passage of time is informative about the probability that the merger will ultimately complete … consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or …

Persistent link: https://www.econbiz.de/10012459747

Measuring and Interpreting Expectations of Equity Returns

Dominitz, Jeff - 2005

We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999 --2001 and in the Michigan Survey of Consumers in 2002 --2004. Our empirical findings suggest that individuals use interpersonally variable but intrapersonally stable processes to form...

Persistent link: https://www.econbiz.de/10012467370

Acquiring Control in Emerging Markets : Evidence from the Stock Market

Chari, Anusha - 2004

When firms from developed markets acquire firms in emerging markets, market-capitalization-weighted monthly joint returns show a statistically significant increase of 1.8%. Panel data estimations suggest that the value gains from cross-border M&A transactions stem from the transfer of majority...

Persistent link: https://www.econbiz.de/10012467817

Go Down Fighting : Short Sellers vs. Firms

Lamont, Owen - 2004

I study battles between short sellers and firms. Firms use a variety of methods to impede short selling, including legal threats, investigations, lawsuits, and various technical actions intended to create a short squeeze. These actions create short sale constraints. Consistent with the...

Persistent link: https://www.econbiz.de/10012468034

Inflation Illusion and Stock Prices

Campbell, John Y. - 2004

impact of time-varying inflation. Consistent with the Modigliani-Cohn hypothesis, we find that the level of inflation … explains almost 80% of the time-series variation in stock-market mispricing …

Persistent link: https://www.econbiz.de/10012468430

Efficiency and the Bear : Short Sales and Markets around the World

Goetzmann, William N. - 2003

We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider …

Persistent link: https://www.econbiz.de/10012469237

Are Sticky Prices Costly? Evidence From The Stock Market

Gorodnichenko, Yuriy - 2013

We propose a simple framework to assess the costs of nominal price adjustment using stock market returns. We document that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for firms with more flexible prices. This differential...

Persistent link: https://www.econbiz.de/10012459801

Winners and Losers : Creative Destruction and the Stock Market

Kogan, Leonid - 2013

We develop a general equilibrium model of asset prices in which the benefits of technological innovation are distributed asymmetrically. Financial market participants do not capture all the economic rents resulting from innovative activity, even when they own shares in innovating firms. Economic...

Persistent link: https://www.econbiz.de/10012459990