Showing 1 - 10 of 35
Persistent link: https://www.econbiz.de/10014536712
We examine whether industry-level short interest predicts industry stock returns and find that the former is negatively associated with the latter. Furthermore, this predictive ability is more pronounced in industries with higher information asymmetry surrounding firms, suggesting that either...
Persistent link: https://www.econbiz.de/10014088705
We document the increasing role leveraged exchange traded funds (ETFs) play in institutional portfolios over time. A subset of independent investment advisors, quasi-indexers, and transient portfolio managers all make substantive use of these tools. Leveraged ETFs can be used for diversification...
Persistent link: https://www.econbiz.de/10013229401
We examine the role of fundamental accounting information in shaping portfolio performance. Using a conditional performance approach, we address the concern that the positive relationship between Piotroski's F Score and ex post returns is due to risk compensation. Our results show that...
Persistent link: https://www.econbiz.de/10012965982
This study uses a large sample of Korean firms to examine institutional blockholders' influence on corporate earnings management. The Korean market is an interesting setting to study institutional monitoring because it is dominated by chaebols, which are characterized by ineffective internal...
Persistent link: https://www.econbiz.de/10012950044
We test whether institutional investors' demand relates to past arbitrage activity in the form of short interest. We find that changes in short interest positively predict institutional demand. Examining the reason for the positive relationship, we find that institutions do not appear to demand...
Persistent link: https://www.econbiz.de/10012902544
The extant literature shows that institutional investors engage in corporate governance to enhance a firm's long-term value. Measuring firm performance using the F-Score, we examine the persistent monitoring role of institutional investors and identify the financial aspects of a firm that...
Persistent link: https://www.econbiz.de/10013019943
We investigate the time-series patterns in industry return predictability conditioned on insider demand from 1996 to 2016. Current insider demand within an industry is positively associated with higher future industry returns. This relation is primarily driven by the buy side of insider trades...
Persistent link: https://www.econbiz.de/10014105418
Recent research shows that high return dispersion (RD) is associated with economic conditions characterized by high discount rates, which are not conducive to growth and investment. We propose that RD risk can explain the accrual and investment anomalies. We conduct asset-pricing tests that...
Persistent link: https://www.econbiz.de/10013065543
In contrast to prior equity market results, we document that corporate bonds issued by low profitability firms outperform bonds issued by highly profitable firms. This performance difference is primarily driven by low profitability, low credit rating firms. This profitability premium is...
Persistent link: https://www.econbiz.de/10013014314