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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 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

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 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

End-of-the-year economic growth and time-varying expected returns

Møller, Stig V.; Rangvid, Jesper - In: Journal of Financial Economics 115 (2015) 1, pp. 136-154

We show that macroeconomic growth at the end of the year (fourth quarter or December) strongly influences expected returns on risky financial assets, whereas economic growth during the rest of the year does not. We find this pattern for many different asset classes, across different time...

Persistent link: https://www.econbiz.de/10011115770

Trade credit and cross-country predictable firm returns

Albuquerque, Rui; Ramadorai, Tarun; Watugala, Sumudu W. - In: Journal of Financial Economics 115 (2015) 3, pp. 592-613

We investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit located in producer countries have stock returns that are strongly predictable...

Persistent link: https://www.econbiz.de/10011208266

Monetary policy and long-term real rates

Hanson, Samuel G.; Stein, Jeremy C. - In: Journal of Financial Economics 115 (2015) 3, pp. 429-448

Changes in monetary policy have surprisingly strong effects on forward real rates in the distant future. A 100 basis point increase in the two-year nominal yield on a Federal Open Markets Committee announcement day is associated with a 42 basis point increase in the ten-year forward real rate....

Persistent link: https://www.econbiz.de/10011208269

Did CDS trading improve the market for corporate bonds?

Das, Sanjiv; Kalimipalli, Madhu; Nayak, Subhankar - In: Journal of Financial Economics 111 (2014) 2, pp. 495-525

secondary market for corporate bonds. We employ econometric specifications that account for information across CDS, bond, equity …

Persistent link: https://www.econbiz.de/10010737665