Showing 1 - 10 of 13
We propose an asset pricing model in a production economy where cash flows are determined by firms' dividend and investment decisions. Managers choose extensive and intensive margins in payout policy while facing non-convex costs as firm cash holdings grow. Differences in the timing of dividend...
Persistent link: https://www.econbiz.de/10013093682
The authors compare the post-issue stock and operating performance of rights issue versus public offer firms using Korean data. The authors find that the stock returns of rights issue firms are less negative than those of public offering firms during the three years subsequent to the seasoned...
Persistent link: https://www.econbiz.de/10012887269
Persistent link: https://www.econbiz.de/10003628411
This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011800879
This paper documents that momentum profits in corporate bonds prevail during weakening aggregate credit conditions, and are driven by losers. Consistent with this, we find that a conditional default factor explains the cross-section returns of corporate bond portfolios sorted by past...
Persistent link: https://www.econbiz.de/10013106842
Firms with higher (lower) vote values have significantly lower (higher) future returns. Constructing portfolios based on an option-based measure of the value of voting rights yields average return spreads of about 80 basis points per month, and the return differences persist up to ten months....
Persistent link: https://www.econbiz.de/10012897975
Little is known about how bank capital affects bank stock performance. We show that capital does not affect returns unconditionally, but high-capital banks have higher risk-adjusted stock returns (alphas) than low-capital banks in bad times in and out of sample. Trading strategies earn...
Persistent link: https://www.econbiz.de/10012853987
Recent studies find stock returns are negatively related to idiosyncratic volatility (IVOL). We find that aggregate variables known to explain stock market volatility affect the IVOL and portfolio returns sorted by IVOL. Macroeconomic volatilities, yield spreads, dividend yield, trading volume...
Persistent link: https://www.econbiz.de/10012935117
We build a competition network that links two industries through their common market leaders. Industries with higher centrality on the competition network have higher expected stock returns because of higher exposure to the cross-industry spillover of distress shocks. The competition intensity...
Persistent link: https://www.econbiz.de/10013240149
We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the population of firms and from each other in how they cluster across industries. Using well specified tests under...
Persistent link: https://www.econbiz.de/10013134363