Similar Search Results

Explaining the Cross-Section of Stock Returns in Japan : Factors or Characteristics?

Daniel, Kent - 1999

Japanese stock returns are even more closely related to their book-to-market ratios than are their U.S. counterparts, and thus provide a good setting for testing whether the return premia associated with these characteristics arise because the characteristics are proxies for covariance with...

Persistent link: https://www.econbiz.de/10012471544

Profitability of Momentum Strategies : An Evaluation of Alternative Explanations

Jegadeesh, Narasimhan - 1999

This paper evaluates various explanations for the profitability of momentum strategies documented in Jegadeesh and Titman (1993). The evidence indicates that momentum profits have continued in the 1990's suggesting that the original results were not a product of data snooping bias. The paper...

Persistent link: https://www.econbiz.de/10012471628

A Dynamic Model of Characteristic-Based Return Predictability

Alti, Aydoğan - 2019

We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...

Persistent link: https://www.econbiz.de/10012479727

ESG Preference, Institutional Trading, and Stock Return Patterns

Cao, Jie - 2020

Socially responsible (SR) institutions tend to focus more on the ESG performance and less on quantitative signals of value. Consistent with this difference in focus, we find that SR institutions react less to quantitative mispricing signals. Our evidence suggests that the increased focus on ESG...

Persistent link: https://www.econbiz.de/10012482375

Firms' Histories and Their Capital Structures

Kayhan, Ayla - 2004

This paper examines how cash flows, investment expenditures and stock price histories affect corporate debt ratios. Consistent with earlier work, we find that these variables have a substantial influence on changes in capital structure. Specifically, stock price changes and financial deficits...

Persistent link: https://www.econbiz.de/10012468167

Capital Investments and Stock Returns

Titman, Sheridan - 2003

Firms that substantially increase capital investments subsequently achieve negative benchmark-adjusted returns. The negative abnormal capital investment/return relation is shown to be stronger for firms that have greater investment discretion, i.e., firms with higher cash flows and lower debt...

Persistent link: https://www.econbiz.de/10012468746

Market Reactions to Tangible and Intangible Information

Daniel, Kent - 2003

We decompose stock returns into components attributable to tangible and intangible information. A firm's tangible return is the component of its return attributable to fundamental accounting-performance information, and its intangible return is the component which is orthogonal to this...

Persistent link: https://www.econbiz.de/10012468955

Evidence on the Characteristics of Cross Sectional Variation in Stock Returns

Daniel, Kent - 1996

Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for non-diversifiable...

Persistent link: https://www.econbiz.de/10012473241

Good News for Value Stocks : Further Evidence on Market Efficiency

Porta, Rafael La - 1995

This paper examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. We study stock price reactions around earnings announcements for value and glamour stocks over a 5 year period after portfolio formation. The...

Persistent link: https://www.econbiz.de/10012473559

Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading

Lakonishok, Josef - 1991

evaluate the potential effect of their trading on stock prices. We address two aspects of trading by money managers: herding …, which refers to buying (selling) the same stocks as other managers buy (sell) at the same time; and positive … of substantial herding or positive-feedback trading by pension fund managers, except in small stocks. Also, there is no …

Persistent link: https://www.econbiz.de/10012475147