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Market Power and Systematic Risk
Hollstein, Fabian; Prokopczuk, Marcel; Würsig, … - 2021
market similarity, we document a strong negative link between market power and market betas. There is a more than threefold … significant reduction in market betas, underlining the causality of the market power--systematic risk relationship. Firms that … that market power is in part self-reinforcing …
Persistent link: https://www.econbiz.de/10013225929
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Efficient mimicking portfolios in asset pricing tests
Kim, Jinyong; Kim, Kun Ho; Lee, Jeong Hwan - In: The Korean economic review 37 (2021) 2, pp. 399-417
Persistent link: https://www.econbiz.de/10013426591
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Capital Allocation Based Asset Pricing
Qi, Qian - 2021
I explore an intricate interaction between a firm’s risk exposure, intangible capital accumulation, and physical capital accumulation by using a unified dynamic investment model of capital allocation. The model emphasizes both the importance of the marginal value of the intangible capital and...
Persistent link: https://www.econbiz.de/10013249319
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Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity, establishing a value for the firm etc. The present paper analyses stocks of six commercial banks (viz., Dubai Commercial Bank, Emirates Bank International, National Bank of Dubai,...
Persistent link: https://www.econbiz.de/10005413135
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公司债非流动性与风险溢价--基于中国的实证研究 (The Illiquidity of Corpornate Bonds and Risk Premium--Empirical Evidence from China)
Zhu, Rufei - 2013
This paper examines the factors which affect the illiquidity from bond characteristics and market variables through four popular illiquidity measures. The paper also study how the illiquidity, equity volatility and stamp tax affect corporate bonds' yield spreads. Findings suggest that...
Persistent link: https://www.econbiz.de/10013091565
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Explanatory power of pre-issue financial strength for long-term market performance : evidence from initial equity offerings on an emerging market
Czapiewski, Leszek; Lizińska, Joanna - In: International Journal of Financial Studies : open … 7 (2019) 1/16, pp. 1-16
This study tests possible sources of long-term risk-adjusted returns on initial public offerings (IPO) in Poland under the calendar-time portfolio (CTP) approach. The moment of going public still remains a puzzle in many areas. Poland’s status as an emerging market has been indisputable for...
Persistent link: https://www.econbiz.de/10012038537
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2013
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms' stock returns...
Persistent link: https://www.econbiz.de/10010328866
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno; Pelizzon, Loriana; von Thadden, Ernst-Ludwig - C.E.P.R. Discussion Papers - 2015
This paper analyzes why corporate governance matters for stock returns if the stock market prices the underlying managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash flows, but reduces incentives for managerial effort. In...
Persistent link: https://www.econbiz.de/10011165663
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; Thadden, … - CESifo - 2013
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...
Persistent link: https://www.econbiz.de/10010720638
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno - 2014
This paper analyzes why corporate governance matters for stock returns if the stock market prices the underlying managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash flows, but reduces incentives for managerial effort. In...
Persistent link: https://www.econbiz.de/10013063851