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Stock returns after major price shocks: The impact of information

Savor, Pavel G. - In: Journal of Financial Economics 106 (2012) 3, pp. 635-659

events accompanied by information are followed by drift, while no-information ones result in reversals. One interpretation of …. Consistent with this hypothesis, information-based price changes are more strongly correlated with future earnings surprises than … no-information ones. Furthermore, drift exists only when the direction of the price move and of the change in analyst …

Persistent link: https://www.econbiz.de/10010587985

Impact of the Dodd-Frank act on credit ratings

Dimitrov, Valentin; Palia, Darius; Tang, Leo - In: Journal of Financial Economics 115 (2015) 3, pp. 505-520

We analyze the impact of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank) on corporate bond ratings issued by credit rating agencies (CRAs). We find no evidence that Dodd-Frank disciplines CRAs to provide more accurate and informative credit ratings. Instead, following...

Persistent link: https://www.econbiz.de/10011208260

Capacity constraints, investor information, and hedge fund returns

Ramadorai, Tarun - In: Journal of Financial Economics 107 (2013) 2, pp. 401-416

evidence on the information available to hedge fund investors. Buy and sell indications arrive following fund outperformance …

Persistent link: https://www.econbiz.de/10010616815

Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs

Joslin, Scott; Le, Anh; Singleton, Kenneth J. - In: Journal of Financial Economics 109 (2013) 3, pp. 604-622

This paper explores the implications of filtering and no-arbitrage for the maximum likelihood estimates of the entire conditional distribution of the risk factors and bond yields in Gaussian macro-finance term structure model (MTSM) when all yields are priced imperfectly. For typical yield...

Persistent link: https://www.econbiz.de/10010681718

The term structure of inflation expectations

Chernov, Mikhail; Mueller, Philippe - In: Journal of Financial Economics 106 (2012) 2, pp. 367-394

We use information in the term structure of survey-based forecasts of inflation to estimate a factor hidden in the …

Persistent link: https://www.econbiz.de/10010593833

Why do term structures in different currencies co-move?

Jotikasthira, Chotibhak; Le, Anh; Lundblad, Christian - In: Journal of Financial Economics 115 (2015) 1, pp. 58-83

Yield curve fluctuations across different currencies are highly correlated. This paper investigates this phenomenon by exploring the channels through which macroeconomic shocks are transmitted across borders. Macroeconomic shocks affect current and expected future short-term rates as central...

Persistent link: https://www.econbiz.de/10011115772

News-driven return reversals: Liquidity provision ahead of earnings announcements

So, Eric C.; Wang, Sean - In: Journal of Financial Economics 114 (2014) 1, pp. 20-35

liquidity and that these increases significantly affect the dynamics and information content of market prices. … uncertainty regarding anticipated information events elicits predictable increases in the compensation demanded for providing …

Persistent link: https://www.econbiz.de/10010906188

The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market

Loon, Yee Cheng; Zhong, Zhaodong Ken - In: Journal of Financial Economics 112 (2014) 1, pp. 91-115

This paper examines the impact of central clearing on the credit default swap (CDS) market using a sample of voluntarily cleared single-name contracts. Consistent with central clearing reducing counterparty risk, CDS spreads increase around the commencement of central clearing and are lower than...

Persistent link: https://www.econbiz.de/10010752915

Innovative efficiency and stock returns

Hirshleifer, David; Hsu, Po-Hsuan; Li, Dongmei - In: Journal of Financial Economics 107 (2013) 3, pp. 632-654

We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and...

Persistent link: https://www.econbiz.de/10010635942

Anomalies and financial distress

Avramov, Doron; Chordia, Tarun; Jostova, Gergana; … - In: Journal of Financial Economics 108 (2013) 1, pp. 139-159

This paper explores commonalities across asset pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit risk, dispersion, idiosyncratic volatility, and...

Persistent link: https://www.econbiz.de/10010635946

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