Showing 1 - 10 of 18
"We evaluate the Fama-French three-factor model in the UK using the approach of Daniel and Titman (1997) to determine whether characteristics or covariance risk better explains the size and value premiums. Across all three factors, we find that return premiums bear little relationship to the...
Persistent link: https://www.econbiz.de/10005334925
A growing number of studies in finance decompose multiperiod portfolio returns into a series of single-period returns, using these to test asset pricing models or market efficiency or to evaluate the returns to investment strategies such as those based on momentum, size, and value--growth. We...
Persistent link: https://www.econbiz.de/10005564187
Persistent link: https://www.econbiz.de/10005309502
A seasoned equity offering (SEO) can improve a firm’s stock liquidity and lower its cost of capital. This paper examines whether SEO firms achieve a liquidity gain and the sources of this gain. It explores the role of liquidity risk in explaining SEO long-run performance. The evidence shows...
Persistent link: https://www.econbiz.de/10010595272
Persistent link: https://www.econbiz.de/10005362901
This paper investigates the optimal retirement of an individual in the presence of involuntary unemployment risks and borrowing constraints in a complete market with frictions. We use an intensity model and loading factors to illustrate the involuntary unemployment risks and frictions in...
Persistent link: https://www.econbiz.de/10010682596
In this paper, we study the relative performance of value versus growth strategies from the perspective of stochastic dominance. Using half a century US data on value and growth stocks, we find no evidence against the widely documented fact that value stocks stochastically dominate growth stocks...
Persistent link: https://www.econbiz.de/10005495752
Apart from the obvious reasons for raising capital, a firm can hedge its interest rate exposure by issuing debt, the value of which moves in an opposite direction from the value of its assets as interest rate varies. We examine whether firms in the UK market make full use of debt issuances for...
Persistent link: https://www.econbiz.de/10004973478
China’s coalmining fatalities were 140 times higher than the U.S. in the last decade. To shed light on this issue, we form and examinea unique panel dataset of 25,387 firm-year observations for China’s coalmining industry. We show that a firm’s leverage significantly determines its...
Persistent link: https://www.econbiz.de/10011260832
In this paper we investigate the effects of informed trading (PIN) and information uncertainty in determining price momentum. We find that trading strategies based on buying high-uncertainty good-news stocks and shorting high-uncertainty bad-news stocks work well when limited to high-PIN stocks,...
Persistent link: https://www.econbiz.de/10010574835