排序方式: 共有39条查询结果,搜索用时 15 毫秒
21.
HITESH DOSHI KRIS JACOBS PRAVEEN KUMAR RAMON RABINOVITCH 《The Journal of Finance》2019,74(3):1431-1471
Building on theoretical asset pricing literature, we examine the role of market risk and the size, book‐to‐market (BTM), and volatility anomalies in the cross‐section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in explaining the cross‐section of unlevered equity returns, even after controlling for size and BTM. The size effect is weakened, while the value premium and the volatility puzzle virtually disappear for unlevered returns. We show that leverage induces heteroskedasticity in returns. Unlevering returns removes this pattern, which is otherwise difficult to address by controlling for leverage in regressions. 相似文献
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PRAVEEN KUMAR NISAN LANGBERG K. SIVARAMAKRISHNAN 《Journal of Accounting Research》2012,50(4):1041-1076
We examine the valuation and capital allocation roles of voluntary disclosure when managers have private information regarding the firm’s investment opportunities, but an efficient market for corporate control influences their investment decisions. For managers with long‐term stakes in the firm, the equilibrium disclosure region is two‐tailed: only extreme good news and extreme bad news is disclosed in equilibrium. Moreover, the market’s stock price and investment responses to bad news disclosures are stronger than the responses to good news disclosures, which is consistent with the empirical evidence. We also find that myopic managers are more likely to withhold bad news in good economic times when markets can independently assess expected investment returns. 相似文献
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This paper investigates the behavior of stock and option prices around block trades in stocks. The results indicate that for both up tick and downtick block trades the stock prices adjust within a fifteen minute period after the block trade. Moreover, for uptick blocks there is no evidence of any stock price reaction before the block trade. However, the adjustment of stock price for downtick blocks begins about fifteen minutes before the block trade. We also find that option price behavior differs considerably from stock price behavior. Specifically, our results suggest that options exhibit abnormal price behavior starting thirty minutes before the block and ending one hour after the block. The pattern is more pronounced for downtick blocks and for put options. We interpret this abnormal price behavior of options before the block trade as consistent with intermarket frontrunning. 相似文献
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Abstract. This paper examines stock market behavior associated with interim earnings and marketing-production disclosures by NYSE industrial corporations during 1905–10. Mean stock price changes are examined to assess whether these firms were more likely to disclose favorable information. We also examine the magnitude of price changes and trading volume to provide evidence on the credibility of these disclosures as perceived by investors. The sample and time period we examine enable us to evaluate the stock market effects of interim disclosures in a discretionary disclosure environment. We find no evidence that these firms were more likely to selectively disclose favorable interim information based on contemporaneous stock price changes. Also, no significant differences are detected in the incidence of interim disclosure before dividend or annual earnings increases compared to dividend cuts/omissions or annual earnings declines. We also document increased trading volume in the announcement week and prior weeks, but significant price changes are restricted to the preannouncement period. These results are driven by firms that do not frequently disclose interim information, and these firms' disclosures are frequently accompanied by concurrent news items (in particular, new financings). Price and volume results are weakly sensitive to the exclusion of cases with concurrent news items. Collectively, our results suggest no systematic tendency to disclose favorable information and managerial disclosures were at least partially credible in the early 20th century disclosure environment. Résumé. Les auteurs examinent la réaction du marché des valeurs mobilières à la publication d'information périodique relative aux bénéfices ainsi qu'à la production et au marketing, par les sociétés industrielles dont les titres étaient inscrits à la Bourse de New York durant la période 1905–1910 et s'intéressent aux variations du cours moyen des titres, afin d'évaluer si ces sociétés étaient davantage enclines à publier de l'information favorable. Ils examinent également l'ampleur des variations du cours des titres et du volume des opérations afin d'établir comment les investisseurs percevaient la crédibilité de l'information publiée. Les variations du cours des titres observées à l'époque ne permettent pas de conclure que ces sociétés étaient davantage enclines à sélectionner l'information périodique la plus favorable, et les auteurs ne détectent pas non plus de différences significatives dans les conséquences de la publication d'information périodique préalablement à des hausses de dividendes ou de bénéfices annuels, par rapport à des réductions ou des omissions de dividendes ou des diminutions des bénéfices annuels. Dans l'ensemble, les résultats portent à croire qu'il n'y a pas de tendance systématique à la publication d'information favorable, et que l'information publiée par la direction est au moins en partie crédible dans le contexte du début du XXe siècle. 相似文献
26.
Who Gambles in the Stock Market? 总被引:1,自引:0,他引:1
ALOK KUMAR 《The Journal of Finance》2009,64(4):1889-1933
This study shows that the propensity to gamble and investment decisions are correlated. At the aggregate level, individual investors prefer stocks with lottery features, and like lottery demand, the demand for lottery-type stocks increases during economic downturns. In the cross-section, socioeconomic factors that induce greater expenditure in lotteries are associated with greater investment in lottery-type stocks. Further, lottery investment levels are higher in regions with favorable lottery environments. Because lottery-type stocks underperform, gambling-related underperformance is greater among low-income investors who excessively overweight lottery-type stocks. These results indicate that state lotteries and lottery-type stocks attract very similar socioeconomic clienteles. 相似文献
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Characteristics of inflation play a key role in policy formulation and market analysis. Several studies have analyzed inflation persistence and reached diverging conclusions. In this paper, we investigate the dynamics of inflation persistence using fractionally integrated processes and find that there has been a clear decline in inflation persistence in the United States over the past two decades. We also show that the presence of fractional integration in inflation successfully explains previous diverging results. Lastly, we provide some international comparisons to examine the extent to which there has been a commensurate decline in inflation persistence in the other G7 economies. 相似文献
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We study stock holdings and trading behavior of more than 60,000 households and find evidence consistent with dividend clienteles. Retail investor stock holdings indicate a preference for dividend yield that increases with age and decreases with income, consistent with age and tax clienteles, respectively. Trading patterns reinforce this evidence: Older, low‐income investors disproportionally purchase stocks before the ex‐dividend day. Furthermore, among small stocks, the ex‐day price drop decreases with age and increases with income, consistent with clientele effects. Finally, consistent with the behavioral “attention” hypothesis, we document that older and low‐income investors purchase stocks following dividend announcements. 相似文献
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We study the dynamic implications of capital investment in innovative capacity (IC) on future stock returns, investment, and profitability by modeling the unique effects of IC investment on uncertain option generation/exercise and postexercise revenue. The model highlights the diverse effects of IC investment on expected returns in different postinvestment regimes and yields the novel prediction that, under the neoclassical assumption of nonincreasing revenue returns, IC investment is positively related to subsequent cumulative stock returns with a lag. The model also predicts a positive effect of IC investment on future investment and profitability. We find strong empirical support for these predictions. 相似文献
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ELIZABETH M. CAUCUTT SELAHATTIN MROHOROLU KRISHNA B. KUMAR 《Journal of Public Economic Theory》2006,8(1):95-118
We develop a model with heterogeneity in skills to study the effect of tax progressivity on economic growth. The probability of becoming skilled depends positively on expenses on teacher time. We consider growth resulting from an externality due to skilled workers and from their employment in research and development. We show changes in the progressivity of taxes can have growth effects even when changes in flat rate taxes have none. The response is stronger with externality‐driven growth. Progressive taxation, often suggested to reduce inequality, can increase the long‐run skill premium and decrease the upward mobility of the poor. 相似文献