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stocks. While long-short (zero initial outlay) portfolios based on this signal usually make a profit on average, it is rarely …
Persistent link: https://www.econbiz.de/10012824583
Firms with lower profitability have lower expected returns because such firms perform better than expected when market … with this hypothesis, the profitability anomaly is stronger for distressed and volatile firms, and aggregate volatility …
Persistent link: https://www.econbiz.de/10012855868
Prior research provides mixed evidence on whether corporate lobbying activities increase or decrease shareholder value. In this study we use detailed data on corporate lobbying expenditures to investigate which factors influence the returns to corporate lobbying activities. Specifically, we...
Persistent link: https://www.econbiz.de/10012992236
three European exchanges in 2013: Xetra, Chi-X, and BATS. We show that a high-frequency trader can profit from lead …
Persistent link: https://www.econbiz.de/10014239339
back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns …. We show that long-run profit persistence together with other additional economic firm fundamentals have a significant …
Persistent link: https://www.econbiz.de/10010210263
influences the profitability of the original 52-week high momentum strategy. Design/methodology/approach: This paper decomposes … employ a portfolio approach and Fama-MacBeth regression analysis to investigate the profitability of each proposed momentum … original 52-week high measure can increases (decreases) the momentum profit, implying that the updating component dominates the …
Persistent link: https://www.econbiz.de/10014419592
This paper investigates whether profitability skewness is related to expected stock return. We document significant … evidence that profitability skewness positively predicts cross-sectional stock returns, opposite to the negative relation … between return skewness and stock returns.The positive return predictability is robust to alternative proxies of profitability …
Persistent link: https://www.econbiz.de/10012949791
We provide a new explanation for the profitability anomaly along with a battery of supportive empirical tests. Our … profitability and future stock returns, and the relation is stronger in firms with higher growth. The relation arises because less …
Persistent link: https://www.econbiz.de/10012848353
profitability of the strategies has significantly decreased recently, driven particularly by the disappearance of value and reversal …
Persistent link: https://www.econbiz.de/10013244614
Finance literature highlights various reasons for stock performance subsequent to earnings announcements. However, other moving parts in these scenarios must also be simultaneously specified. While both revenue and earnings surprises are important for determining stock performance,...
Persistent link: https://www.econbiz.de/10012849035