共查询到20条相似文献,搜索用时 15 毫秒
1.
LAWRENCE HARRIS 《The Journal of Finance》1989,44(5):1155-1175
S&P 500 stock return volatilities are compared to the volatilities of a matched set of stocks, after controlling for cross-sectional differences in firm attributes known to affect volatility. No significant difference in volatility is observed between 1975 and 1983—before the start of trade in index futures and index options. Since then, S&P 500 stocks have been relatively more volatile. The difference is statistically, but not economically, significant. The relative increase occurs primarily in daily returns and only to a lesser extent in longer interval returns. Other factors besides the start of derivative trade could be responsible for the small increase in volatility. 相似文献
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This paper presents an information-theoretic, infinite horizon model of the equity issue decision. The model predicts that (a) equity issues on average are preceded by an abnormal positive return on the stock, although for some firms the issue is preceded by a loss; (b) equity issues on average are preceded by an abnormal rise in the market; and (c) the stock price drops at the announcement of an issue. The model provides a measure of the welfare cost of asymmetric information; the welfare loss may be small even if the price drop at issue announcement is large. 相似文献
3.
Divergence of Cash Flow and Voting Rights,Opacity, and Stock Price Crash Risk: International Evidence
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This study investigates whether and how the deviation of cash flow rights (ownership) from voting rights (control), or simply the ownership‐control wedge, influences the likelihood that extreme negative outliers occur in stock return distributions, which we refer to as stock price crash risk. We do so using a comprehensive panel data set of firms with a dual‐class share structure from 20 countries around the world for the period of 1995–2007. We predict and find that opaque firms with a large wedge are more crash prone than opaque firms with a small wedge. In addition, we predict and find that the positive relation between the wedge and crash risk is less pronounced for firms with more effective external monitoring and for firms with greater growth opportunities. The results of this study are broadly consistent with Jin and Myers’s theory that agency costs, combined with opacity, exacerbate stock price crash risk. 相似文献
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JEAN‐PAUL DÉCAMPS THOMAS MARIOTTI JEAN‐CHARLES ROCHET STÉPHANE VILLENEUVE 《The Journal of Finance》2011,66(5):1501-1544
We develop a dynamic model of a firm facing agency costs of free cash flow and external financing costs, and derive an explicit solution for the firm's optimal balance sheet dynamics. Financial frictions affect issuance and dividend policies, the value of cash holdings, and the dynamics of stock prices. The model predicts that the marginal value of cash varies negatively with the stock price, and positively with the volatility of the stock price. This yields novel insights on the asymmetric volatility phenomenon, on risk management policies, and on how business cycles and agency costs affect the volatility of stock returns. 相似文献
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This paper develops a model in which managers can signal their firms' true values by using either a dividend or a stock repurchase or both. The authors explain a number of stylized facts about these cash-disbursement mechanisms, particularly those concerning the relative magnitudes of stock price responses to dividends and repurchases. Most importantly, they explain why a stock repurchase elicits a significantly higher price response, on average, than a dividend announcement. 相似文献
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This paper shows that the results of variance-bound tests depend on how cash distributions to shareholders are measured. As in prior studies, we find apparent evidence of excess volatility when a narrow definition of cash flow (dividends only) is applied. However, we are unable to reject the hypothesis of market efficiency when the cash flow measure also includes share repurchases and takeover distributions in addition to ordinary cash dividends. 相似文献
8.
ZHI DA 《The Journal of Finance》2009,64(2):923-956
I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two-factor cash flow model and find that they are able to explain up to 82% of the cross-sectional variation in the average returns on size, book-to-market, and long-term reversal-sorted portfolios for the period 1964 to 2002. This finding highlights the importance of fundamental cash flow characteristics in determining the risk exposure of an asset. 相似文献
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We estimate the shape of the distribution of stock prices using data from options on the underlying asset, and test whether this distribution is distorted in a systematic manner each time a particular news event occurs. In particular we look at the response of the FTSE100 index to market wide announcements of key macroeconomic indicators and policy variables. We show that the whole distribution of stock prices can be distorted on an event day. The shift in distributional shape happens whether the event is characterized as an announcement occurrence or as a measured surprise. We find that larger surprises have proportionately greater impact, and that higher moments are more sensitive to events however characterised. 相似文献
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We show that after controlling for the effects of bid-ask spreads and trading volume the conditional future volatility of equity returns is negatively related to the level of stock price. This “leverage effect” is stronger for small, as compared to large, firms. We also document that while the essential characteristics of the relations between stock price dynamics and firm size are stable, the strengths of the relationships appear to change over time. 相似文献
11.
Mikhail Simutin 《Financial Management》2010,39(3):1197-1222
I document a positive relationship between corporate excess cash holdings and future stock returns. The difference in returns of portfolios of high and low excess cash firms amounts to 5% annually or 6% after standard three-factor risk adjustment. Firms with more excess cash have higher market betas and earn lower returns during market downturns. High excess cash companies invest considerably more in the future than do their low cash peers, but do not experience stronger future profitability. On the whole, this evidence is consistent with the notion that excess cash holdings proxy for risky growth options. 相似文献
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Nuriddin Ikromov Abdullah Yavas 《The Journal of Real Estate Finance and Economics》2012,44(1-2):203-229
The value of an asset is equal to the present value of its expected future cash flows. It is affected by the magnitude, timing and riskiness, or volatility, of the cash flows. We hypothesize that if the expected values of two assets?? cash flows are equal, the value of the asset with more volatile cash flows will be lower. Furthermore, we examine the impact of the volatility of cash flows on the volatility of prices. We consider a simple experimental environment where subjects trade in an asset which provides dividends from a known probability distribution. The expected value of the dividends is identical in all experimental treatments. The treatments vary with respect to the volatility of dividends. We find that when dividends are more volatile, transaction prices are lower. We also find that the volatility of prices is lower in the treatment with highly volatile dividends. In addition, as expected, trading volume is lower when cash flows are less volatile. 相似文献
13.
George J. Staubus 《Accounting & Business Research》2013,43(74):161-169
The persistence of a minority interest in ‘cash flow accounting’ alongside the dominant financial reporting pattern that gives cash flow statements a distinctly secondary role in the line-up of flow statements suggests that something is missing from the analyses of the interested parties. The major theme of this paper is that users rely on historical cash flow reporting for information relevant to projecting enterprise liquidity in the short run, and on financial statements based on accrual-deferral accounting for information relevant to their interest in wealth and income. An explicit distinction between the two accounting objectives (providing information for use in assessing future enterprise liquidity and providing information for use in assessing enterprise wealth and income and performance against investors' augmentation-of-wealth objective) is recommended as a basis for clarifying the issues. That distinction suggests the value of two quite different, but related, sets of data: historical cash flows and stocks and flows of cash potentials. 相似文献
14.
This study examines the effects of earnings preannouncements on financial analyst and stock price reactions to earnings news. Prior experimental research documents that when the signs of a preannouncement surprise and subsequent earnings announcement surprise are consistent (i.e., both either positive or negative), analysts make larger magnitude revisions to their future period earnings forecasts in response to the total earnings news conveyed in the preannouncement and earnings announcement than when the surprise signs are inconsistent. This study extends this research by examining a sample of actual preannouncements from 1993–1997 to determine whether the effects documented in laboratory settings manifest at the aggregate market level in stock prices and consensus analyst forecast revisions. Results indicate that after controlling for the sign of earnings news, sign of earnings, and sign of the earnings announcement surprise, stock prices and analyst forecast revisions respond more strongly when a preannouncement and subsequent earnings announcement elicit the same surprise signs than when the surprise signs are inconsistent. Further analysis indicates that the consistency of the signs of a preannouncement surprise and earnings announcement surprise is not associated with future earnings, suggesting that the magnified reaction of investors and analysts to consistent surprise signs is not a rational reaction to associations observed in market settings. 相似文献
15.
The Cash Flow Sensitivity of Cash 总被引:45,自引:0,他引:45
We model a firm's demand for liquidity to develop a new test of the effect of financial constraints on corporate policies. The effect of financial constraints is captured by the firm's propensity to save cash out of cash flows (the cash flow sensitivity of cash). We hypothesize that constrained firms should have a positive cash flow sensitivity of cash, while unconstrained firms' cash savings should not be systematically related to cash flows. We empirically estimate the cash flow sensitivity of cash using a large sample of manufacturing firms over the 1971 to 2000 period and find robust support for our theory. 相似文献
16.
Garud Iyengar PhD. Alfred Ka Chun Ma PhD. ASA. 《North American actuarial journal : NAAJ》2013,17(3):370-378
Abstract We propose a scenario-based optimization framework for solving the cash flow matching problem where the time horizon of the liabilities is longer than the maturities of available bonds and the interest rates are uncertain. Standard interest rate models can be used for scenario generation within this framework. The optimal portfolio is found by minimizing the cost at a specific level of shortfall risk measured by the conditional tail expectation (CTE), also known as conditional valueat-risk (CVaR) or Tail-VaR. The resulting optimization problem is still a linear program (LP) as in the classical cash flow matching approach. This framework can be employed in situations when the classical cash flow matching technique is not applicable. 相似文献
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We simulate results from a simple real options model to provide insight into the value‐growth stock return anomaly. In our model, firms possess either single (“value” firm) or multiple (“growth” firm) investment opportunities. Our model predicts that growth firms: (1) invest sooner, (2) exhibit greater continuity in capital expenditure over time, (3) have lower book‐to‐market ratios, and (4) generate lower rates of return than value firms. 相似文献
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R. T. Wearing 《Accounting & Business Research》2013,43(77):13-24
The Channel Tunnel, a major international investment project funded approximately 80% by debt and 20% by equity, is expected to be completed by 1993. The Eurotunnel Offer for Sale document (published in November 1987) contained financial projections based on traditional accruals-based principles. This paper converts the published information to a cash flow-based format and critically assesses the depreciation, taxation, dividend and financing policy implications. The relevance of depreciation policy in cases of projects with finite lives is discussed, and the paper concludes that information prepared on cash flow-based principles provides an alternative and more useful perspective of the Eurotunnel operations. 相似文献
20.
This paper models components of the return distribution, which are assumed to be directed by a latent news process. The conditional variance of returns is a combination of jumps and smoothly changing components. A heterogeneous Poisson process with a time‐varying conditional intensity parameter governs the likelihood of jumps. Unlike typical jump models with stochastic volatility, previous realizations of both jump and normal innovations can feed back asymmetrically into expected volatility. This model improves forecasts of volatility, particularly after large changes in stock returns. We provide empirical evidence of the impact and feedback effects of jump versus normal return innovations, leverage effects, and the time‐series dynamics of jump clustering. 相似文献