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Indexing and the Incorporation of Exogenous Information Shocks to Stock Prices

Morck, Randall; Yavuz, Mehmet Deniz - National Bureau of Economic Research - 2023

Savings increasingly flow to low-cost index funds, which simply buy and hold the stocks in a major index, such as the S&P 500. Increased indexing impedes incorporation of idiosyncratic information into stock prices. We limit endogeneity bias by showing that exogenous idiosyncratic currency...

Persistent link: https://www.econbiz.de/10014447296

Hard Times

Campbell, John Y. - 2010

This paper shows that the stock market downturns of 2000-2002 and 2007-09 have very different proximate causes. The early 2000's saw a large increase in the discount rates applied to corporate profits by rational investors, while the late 2000's saw a decrease in rational expectations of future...

Persistent link: https://www.econbiz.de/10012462433

Information, analysts, and stock return comovement

Hameed, Allaudeen - 2010

We examine information spillover as a source of stock return synchronicity, where information about highly-followed "prominent" stocks is used to price other "neglected" stocks sharing a common fundamental component. We find that stocks followed by few analysts co-move significantly with...

Persistent link: https://www.econbiz.de/10012462818

The Long-Run Risks Model and Aggregate Asset Prices : An Empirical Assessment

Beeler, Jason - 2009

The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...

Persistent link: https://www.econbiz.de/10012463859

Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks

Kim, Jung-Wook - 2009

Using complete order books from the Korea Stock Exchange for a four-year period including the 1997 Asian financial crisis, we observe (not estimate) limit order demand and supply curves for individual stocks. Both curves have demonstrably finite elasticities. These fall markedly, by about 40%,...

Persistent link: https://www.econbiz.de/10012463914

Inflation Illusion and Stock Prices

Campbell, John Y. - 2004

We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...

Persistent link: https://www.econbiz.de/10012468430

Shareholder Democracy in Canada

Morck, Randall - 2010

-style takeover defences, such as poison pills and staggered boards, but allows voting caps and pyramiding in their stead. Various … investors and mandatory takeover bids …

Persistent link: https://www.econbiz.de/10012462099

Do Managerial Objectives Drive Bad Acquisitions?

Morck, Randall - 1989

This paper documents for a sample of 327 US acquisitions between 1975 and 1987 three forces that systematically reduce the announcement day return of bidding firms. The returns to bidding shareholders are lower when their firm diversifies, when it buys a rapidly growing target , and when the...

Persistent link: https://www.econbiz.de/10012476048

Alternative Mechanisms for Corporate Control

Morck, Randall - 1988

change: internally precipitated management turnover, hostile takeover, and friendly takeover. We find that firms experiencing … is also weaker evidence that hostile takeover targets underperform their industry peers. We interpret this evidence as … relative to industry, but that an external challenge in the form of a hostile takeover is often required when the whole …

Persistent link: https://www.econbiz.de/10012476534

Characteristics of Hostile and Friendly Takeover Targets

Morck, Randall - 1987

Compared to an average Fortune 500 firm, a target of a hostile takeover is smaller, older, has a lower Tobin's Q … results suggest that the motive for a takeover often determines its mood. Thus disciplinary takeovers are more often hostile …

Persistent link: https://www.econbiz.de/10012476773