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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and … expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …

Persistent link: https://www.econbiz.de/10011441491

The corporate calendar and the timing of share repurchases and equity compensation

Dittmann, Ingolf; Li, Amy Yazhu; Obernberger, Stefan; … - 2022

This study examines whether the CEO uses share repurchases to sell her equity grants at inflated stock prices, a concern regularly voiced in politics and media. We find that the timing of buyback programs and equity compensation, i.e., the granting, vesting, and selling of equity, is largely...

Persistent link: https://www.econbiz.de/10013175592

Macro news, riskfree rates, and the intermediary

Menkveld, Albert J.; Sarkar, Asani; Wel, Michel van der - 2007

-account trade profitability correlates with access to customer flow, controlling for volatility, competition, and the macro …

Persistent link: https://www.econbiz.de/10011373834

The value relevance of top executive departures

Cools, Cornelis; Praag, Mirjam van - 2007

On theoretical grounds, monitoring of top executives by the (supervisory) board is expected to be value relevant. The empirical evidence is ambiguous and we analyze three non-competing explanations for this ambiguity: (i) The positive effect on firm value of board monitoring is hidden in stock...

Persistent link: https://www.econbiz.de/10011453242

How informative are the unpredictable components of earnings forecasts?

Bruijn, Bert de; Franses, Philip Hans - 2015

An analysis of about 300000 earnings forecasts, created by 18000 individual forecasters for earnings of over 300 S&P listed firms, shows that these forecasts are predictable to a large extent using a statistical model that includes publicly available information. When we focus on the...

Persistent link: https://www.econbiz.de/10010490078

The value relevance of forced top management departures : Dutch evidence

Cools, Cornelis; Praag, Mirjam van - 2003

Persistent link: https://www.econbiz.de/10001792605

Event studies in merger analysis : review and an application using U.S. TNIC data

Klein, Timo - 2020 - Revision: March 2020

There is a growing concern that U.S. merger control may have been too lenient, but empirical evidence remains limited. Event studies have been used as one method to acquire empirical insights into the competitive effects of mergers. However, existing work suffers from strong identifying...

Persistent link: https://www.econbiz.de/10012161053

A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"

Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015

We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

Persistent link: https://www.econbiz.de/10011401308

Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

Persistent link: https://www.econbiz.de/10011379456

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10011379469

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