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Innovative Originality, Profitability, and Stock Returns

Hirshleifer, David - 2017

We propose that innovative originality (InnOrig) is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, firms with greater InnOrig are undervalued. We find that firms' InnOrig strongly predicts higher, more persistent, and less volatile...

Persistent link: https://www.econbiz.de/10012455249

How Much Does Size Erode Mutual Fund Performance? A Regression Discontinuity Approach

Reuter, Jonathan - 2010

The level of diseconomies of scale in asset management has important implications for tests of manager skill and the expected level of performance persistence. To identify the causal impact of fund size on future returns, we exploit the fact that small differences in returns can cause discrete...

Persistent link: https://www.econbiz.de/10012462327

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 … the news can cause an updated assessment of the CEO's quality, affecting expectations of his ability to generate future … cash flows. As a CEO's quality becomes known more precisely over time, the latter effect becomes smaller, lowering the …

Persistent link: https://www.econbiz.de/10012459779

Serial Correlation of Asset Returns and Optimal Portfolios for the Long and Short Term

Fischer, Stanley - 1985

Optimal portfolios differ according to the length of time they are held without being rebalanced. For the case in which asset returns are identically and independently distributed, it has been shown that optimal portfolios become less diversified as the holding period lengthens.We show that the...

Persistent link: https://www.econbiz.de/10012477455

Do Trade Creditors Possess Private Information? Stock Returns Evidence

Hirshleifer, David - 2019

Theories of customer supplier relationships hold that the private information of suppliers about buyers explains the use of trade credit even when there is a competitive banking sector. If suppliers possess private information about their buyers, then the buyer's order size and ability to pay on...

Persistent link: https://www.econbiz.de/10012479507

A Dynamic Model of Characteristic-Based Return Predictability

Alti, Aydoğan - 2019

We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...

Persistent link: https://www.econbiz.de/10012479727

Predicting Returns With Text Data

Ke, Zheng Tracy - 2019

We introduce a new text-mining methodology that extracts sentiment information from news articles to predict asset returns. Unlike more common sentiment scores used for stock return prediction (e.g., those sold by commercial vendors or built with dictionary-based methods), our supervised...

Persistent link: https://www.econbiz.de/10012480131

Crisis "Shock Factors" and the Cross-Section of Global Equity Returns

Calomiris, Charles W. - 2010

We study stock returns over the period of the global financial crisis of 2007-2008 and identify three crisis "shock factors" related to unique features of the crisis: (1) the collapse of global demand, (2) the contraction of credit supply, and (3) selling pressure on firms' equity. All three of...

Persistent link: https://www.econbiz.de/10012462098

Financial Constraints and Stock Returns

Lamont, Owen - 1997

We test whether the impact of financial constraints on firm value is observable in asset" returns. We form portfolios of firms based on observable characteristics related to financial" constraints, and test for common covariation in the stock returns of these firms. Using several" different...

Persistent link: https://www.econbiz.de/10012472600

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