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Learning about CEO Ability and Stock Return Volatility
Pan, Yihui - 2013
When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because the news can cause an updated assessment of the CEO's...
Persistent link: https://www.econbiz.de/10012459779
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How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach
Reuter, Jonathan - 2010
The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...
Persistent link: https://www.econbiz.de/10012462327
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Benefits of Control, Managerial Ownership, and the Stock Returns of Acquiring Firms
Hubbard, R. Glenn - 1995
This paper examines the effect of the benefits of corporate control to managers on the relationship between managerial … the acquiring firm increases, the interests of managers are more closely aligned with those of shareholders, reducing the … acquisition premium. At sufficiently high levels of managerial ownership, managers value a reduction in the risk of their …
Persistent link: https://www.econbiz.de/10012473808
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Proxying for expected returns with price earnings ratios
Strunk Hansen, Charlotte (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491493
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The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg (contributor); Lunde, Asger (contributor) - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
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Robust-H-infinity Forecasting and Asset Pricing Anomalies
Tornell, Aaron - 2000
We present an alternative expectation formation mechanism that helps rationalize well known asset pricing anomalies, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational expectations (RE), the expectation formation mechanism we consider...
Persistent link: https://www.econbiz.de/10012470997
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Estimation Risk, Market Efficiency, and the Predictability of Returns
Lewellen, Jonathan - 2000
In asset pricing, estimation risk refers to investor uncertainty about the parameters of the return or cashflow process. We show that with estimation risk the observable properties of prices and returns can differ significantly from the properties perceived by rational investors. In particular,...
Persistent link: https://www.econbiz.de/10012471062
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
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Evaluating the Specification Errors of Asset Pricing Models
Hodrick, Robert J. - 2000
This paper examines the specification errors of several asset pricing models using the methodology of Hansen and Jagannathan (1997) and a common data set. The models are the CAPM, the Consumption CAPM, the Jagannathan and Wang (1996) conditional CAPM, the Campbell (1996) dynamic asset pricing...
Persistent link: https://www.econbiz.de/10012471106
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Covariance Risk, Mispricing, and the Cross Section of Security Returns
Daniel, Kent D. - 2000
but systematic mispricing is not. The theory is consistent with several empirical findings regarding the cross-section of …
Persistent link: https://www.econbiz.de/10012471155