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Common ownership, competition, and top management incentives

Antón, Miguel; Ederer, Florian; Giné, Mireia; … - 2016

We show theoretically and empirically that executives are paid less for their own firm's performance and more for their rivals' performance if an industry's firms are more commonly owned by the same set of investors. Higher common ownership also leads to higher unconditional total pay. We...

Persistent link: https://www.econbiz.de/10011561142

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Persistent link: https://www.econbiz.de/10010509638

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017 - This version: February 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011619632

Revealing downturns

Schmalz, Martin C.; Zhuk, Sergey - 2018

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

Persistent link: https://www.econbiz.de/10011794118

The changing macroeconomic response to stock market volatility shocks

Beetsma, Roel; Giuliodori, Massimo - 2011 - This version: 14 November 2011

activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility. -- Dow Jones index ; stock market volatility shocks ; economic growth ; consumption …

Persistent link: https://www.econbiz.de/10009380407

Why does idiosyncratic risk increase with market risk?

Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

Persistent link: https://www.econbiz.de/10011674278

Vertical integration and valuation of international oil companies

Misund, Bård; Osmundsen, Petter; Sikveland, Marius - 2014

This paper studies financial statement information from the 50 largest international oil and gas companies during 1992 to 2011 and evaluates their relation to market values. In particular, we examine how this relationship is affected by accounting method choice (successful efforts versus full...

Persistent link: https://www.econbiz.de/10010428751

Valuation of international oil companies the RoACE era

Osmundsen, Petter; Asche, Frank; Misund, Bård; Mohn, Klaus - 2005

High oil prices are normally expected to stimulate exploration and the development of new oil and gas fields. But over the last few years, financial analysts have focused strongly on shortterm accounting return (RoACE) for benchmarking and valuation, and this has led to high capital discipline...

Persistent link: https://www.econbiz.de/10002734070

Do differences in institutional and legal environments explain cross-country variations in IPO underpricing?

Hopp, Christian (contributor); Dreher, Axel (contributor) - 2007

Persistent link: https://www.econbiz.de/10003598649

Cybersecurity risk

Florackis, Chris; Louca, Christodoulos; Michaely, Roni; … - 2020

We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays intuitive relations with quantitative measures of...

Persistent link: https://www.econbiz.de/10012387622

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