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Hartzmark, Samuel M.; Solomon, David H. - In: Journal of Financial Economics 109 (2013) 3, pp. 640-660

issue a dividend. Abnormal returns in predicted dividend months are high relative to other companies and relative to … dividend-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as … large as the value premium, but less volatile. The premium is consistent with price pressure from dividend-seeking investors …

Persistent link: https://www.econbiz.de/10010681715

Expected Returns and Expected Dividend Growth

Lettau, Martin; Ludvigson, Sydney C. - 2004

We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on … aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend … growth are an important feature of the post-war U.S. stock market, despite the failure of the dividend-price ratio to uncover …

Persistent link: https://www.econbiz.de/10005846982

Firm characteristics and long-run stock returns after corporate events

Bessembinder, Hendrik; Zhang, Feng - In: Journal of Financial Economics 109 (2013) 1, pp. 83-102

The well-documented abnormal long-run buy-and-hold returns to firms issuing equity in initial public offerings and seasoned equity offerings, firms bidding in mergers, and firms initiating dividends can be attributed to imperfect control-firm matching. In addition to firm size and market-to-book...

Persistent link: https://www.econbiz.de/10010665551

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

Financial innovation through the creation of new markets and securities impacts related markets as well, changing their efficiency, quality (pricing error), and liquidity. The credit default swap (CDS) market was undoubtedly one of the salient new markets of the past decade. In this paper we...

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

Asset pricing: A tale of two days

Savor, Pavel; Wilson, Mungo - In: Journal of Financial Economics 113 (2014) 2, pp. 171-201

We show that asset prices behave very differently on days when important macroeconomic news is scheduled for announcement. In addition to significantly higher average returns for risky assets on announcement days, return patterns are much easier to reconcile with standard asset pricing theories,...

Persistent link: https://www.econbiz.de/10010784903

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

This study documents a six-fold increase in short-term return reversals during earnings announcements relative to non-announcement periods. Following prior research, we use reversals as a proxy for expected returns market makers demand for providing liquidity. Our findings highlight significant...

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

The long of it: Odds that investor sentiment spuriously predicts anomaly returns

Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - In: Journal of Financial Economics 114 (2014) 3, pp. 613-619

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment׳s observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu, and Yuan (2012), who find higher...

Persistent link: https://www.econbiz.de/10011076289