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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

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

Which Investors Matter for Equity Valuations and Expected Returns?

Koijen, Ralph S. J. - 2020

Much work in finance is devoted to identifying characteristics of firms, such as measures of fundamentals and beliefs, that explain differences in asset prices and expected returns. We develop a framework to quantitatively trace the connection between valuations, expected returns, and...

Persistent link: https://www.econbiz.de/10012481597

Is There Hedge Fund Contagion?

Boyson, Nicole M. - 2006

We examine whether hedge funds experience contagion. First, we consider whether extreme movements in equity, fixed income, and currency markets are contagious to hedge funds. Second, we investigate whether extreme adverse returns in one hedge fund style are contagious to other hedge fund styles....

Persistent link: https://www.econbiz.de/10012466579

Income Inequality and Asset Prices under Redistributive Taxation

Pastor, Lubos - 2015

Our simple model features agents heterogeneous in skill and risk aversion, incomplete financial markets, and redistributive taxation. In equilibrium, agents become entrepreneurs if their skill is sufficiently high or risk aversion sufficiently low. Under heavier taxation, entrepreneurs are more...

Persistent link: https://www.econbiz.de/10012457001

An Empirical Investigation of Continuous-Time Equity Return Models

Andersen, Torben G. - 2001

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a...

Persistent link: https://www.econbiz.de/10012470208

The Really Long-Run Performance of Initial Public Offerings : The Pre-NASDAQ Evidence

Gompers, Paul A. - 2001

Financial economists in recent years have closely examined and intensely debated the performance of initial public offerings using data after the formation of NASDAQ. The paper seeks to shed light on this controversy by undertaking a large, out-of-sample study: we examine the performance for up...

Persistent link: https://www.econbiz.de/10012470213

Short Sale Constraints and Stock Returns

Jones, Charles M. - 2001

Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that stocks enter the borrowing market when shorting demand...

Persistent link: https://www.econbiz.de/10012470224

Stock Volatility in the New Millennium : How Wacky Is Nasdaq?

Schwert, G. William - 2001

The recent volatility of stock prices has caused many people to conclude that investors have become irrational in valuing at least some stocks. This paper investigates the behavior of the volatility of stocks on the Nasdaq, which tend to be smaller companies with more growth options, in relation...

Persistent link: https://www.econbiz.de/10012470283

Dynamic Volume-Return Relation of Individual Stocks

Llorente, Guillermo - 2001

We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors trade to share risk or speculate on private information, we show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by speculative...

Persistent link: https://www.econbiz.de/10012470412

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