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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

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

Stock returns after major price shocks: The impact of information

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

This paper focuses on stocks that experience major price changes. Using analyst reports as a proxy, I find that price events accompanied by information are followed by drift, while no-information ones result in reversals. One interpretation of these results is that investors underreact to news...

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

The market for borrowing corporate bonds

Asquith, Paul; Au, Andrea S.; Covert, Thomas; Pathak, … - In: Journal of Financial Economics 107 (2013) 1, pp. 155-182

This paper describes the market for borrowing corporate bonds using a comprehensive data set from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points, and both have fallen over time. Factors that influence borrowing...

Persistent link: https://www.econbiz.de/10010593828

The option to stock volume ratio and future returns

Johnson, Travis L.; So, Eric C. - In: Journal of Financial Economics 106 (2012) 2, pp. 262-286

We examine the information content of option and equity volumes when trade direction is unobserved. In a multimarket asymmetric information model, equity short-sale costs result in a negative relation between relative option volume and future firm value. In our empirical tests, firms in the...

Persistent link: https://www.econbiz.de/10010593832

Style investing, comovement and return predictability

Wahal, Sunil; Yavuz, M. Deniz - In: Journal of Financial Economics 107 (2013) 1, pp. 136-154

Barberis and Shleifer (2003) argue that style investing generates momentum and reversals in style and individual asset returns, as well as comovement between individual assets and their styles. Consistent with these predictions, in some specifications, past style returns help explain future...

Persistent link: https://www.econbiz.de/10010593834

Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban

Grundy, Bruce D.; Lim, Bryan; Verwijmeren, Patrick - In: Journal of Financial Economics 106 (2012) 2, pp. 331-348

The effectiveness of any sanction depends on the costs of avoiding its restrictions. We examine whether bearish option strategies were substitutes for short sales during the September 2008 short-sale ban. We find a significant diminution in option volumes and a significant increase in option...

Persistent link: https://www.econbiz.de/10010593842