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We measure misvaluation using the discounted residual income model. Confirming the findings in the literature, we show that there are significant returns on a misvaluation based long-short portfolio that buys under- and sells short overvalued shares. We define misvaluation spread as the...
Persistent link: https://www.econbiz.de/10012975045
We analyze the market reaction to the sentiment of the CEO speech at the Annual General Meeting (AGM). As the AGM is typically preceded by several information disclosures, the CEO speech may be expected to contribute only marginally to investors' decision-making. Surprisingly, however, we...
Persistent link: https://www.econbiz.de/10011755953
We study whether fund families efficiently allocate their fund managers to different market segments. Whether a fund … employed. We show that in the more efficient investment grade bond fund market segment, fund managers cannot translate higher … skill into higher fund alpha. In contrast, skilled managers can generate higher alpha in the less efficient high yield bond …
Persistent link: https://www.econbiz.de/10008666528
Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices underreact to information in financial media. A one standard deviation increase in the media-implied probability of merger completion increases the subsequent 12-day return of...
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Recent models and the popular press suggest that large groups of hedge funds follow similar strategies resulting in crowded equity positions that destabilize markets. Inconsistent with this assertion, we find that hedge fund equity portfolios are remarkably independent. Moreover, when hedge...
Persistent link: https://www.econbiz.de/10012857395
Stock and option markets can at times reflect differing information. We identify three reasons for the presence of these periods of 'disagreement' between the cash and derivatives markets: 1) high volatility and noise trading; 2) high level of risk aversion; 3) speculation versus hedging trades....
Persistent link: https://www.econbiz.de/10012990094