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The dividend month premium
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
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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
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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
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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
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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
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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
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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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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
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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
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Does option trading convey stock price information?
Hu, Jianfeng - In: Journal of Financial Economics 111 (2014) 3, pp. 625-645
After executing option orders, options market makers turn to the stock market to hedge away the underlying stock exposure. As a result, the stock exposure imbalance in option transactions translates into an imbalance in stock transactions. This paper decomposes the total stock order imbalance...
Persistent link: https://www.econbiz.de/10010743556