Purpose – The purpose of the paper is to investigate the relation between the value/growth anomaly and the external financing anomaly by considering an expanded value/growth indicator: free cash flow yield (free cash flows scaled by price). Design/methodology/approach – The paper utilizes...

In this paper, we show that the negative relation of net operating assets (NOA) with future stock returns first documented by Hirshleifer et al. (2004) applies to both net working and investing pieces of NOA, while it is mostly driven by asset NOA components. Predictability of returns is...

This paper, builds on the work of Hirshleifer, Hou, Teoh and Zhang (Journal of Accounting and Economics, 38, 2004) on the NOA (net operating assets) anomaly. After controlling for current profitability, we find a strong negative relation of NOA with future stock returns. Moreover, the results...

Purpose – The purpose of this paper is to examine the informational content of retained and distributed earnings for future profitability and stock returns. Design/methodology/approach – The paper utilizes firm-level cross-sectional persistent regressions, Mishkin's econometric framework and...

In this paper, we extend the work of Hirshleifer, Hou, Teoh and Zhang (2004) on the “sustainability effect” by directly linking the implications of NOA (net operating assets) and NOA components for the sustainability of current earnings performance with future stock returns. After...

We examine the `relative optimality' of sign predictions for financial returns, extending the work of Christoffersen and Diebold (2006) on volatility dynamics and sign predictability. We show that there is a more general decomposition of financial returns than that implied by the sign...

This paper explores the changes on productivity growth, economies of scale and market discipline experienced by a selected number of Spanish manufacturing industries as a result of the 1986 - 92 integration of Spain into the European Union. Since the intra-union trade liberalization process...

In this paper I consider the problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns)...

<Para ID="Par3">We propose a new method for estimating the covariance matrix of a multivariate time series of financial returns. The method is based on estimating sample covariances from overlapping windows of observations which are then appropriately weighted to obtain the final covariance estimate. We extend...</para>

There is a view that the financial sector of the post-war British economy was in need of reform that was postponed to the detriment of growth for 30 years until liberalisation started in full earnest after the election of 1979. There is another side of the story in this comparison. The first...