Similar Search Results

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

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

What do firms do when dividend tax rates change? An examination of alternative payout responses

Hanlon, Michelle; Hoopes, Jeffrey L. - In: Journal of Financial Economics 114 (2014) 1, pp. 105-124

surge of special dividends in the final months of 2010 and 2012, immediately before individual-level dividend tax rates were … their regular dividend payments by shifting what would normally be January regular dividend payments into the preceding … December. To our knowledge this is the first evidence in the literature about changes in the timing of regular dividend …

Persistent link: https://www.econbiz.de/10010906184

Corporate payout, cash retention, and the supply of credit: Evidence from the 2008–2009 credit crisis

Bliss, Barbara A.; Cheng, Yingmei; Denis, David J. - In: Journal of Financial Economics 115 (2015) 3, pp. 521-540

We document significant reductions in corporate payouts-both dividends and (to a larger extent) share repurchases-during the 2008–2009 financial crisis. Payout reductions are more likely in firms with higher leverage, more valuable growth options, and lower cash balances, i.e., those more...

Persistent link: https://www.econbiz.de/10011208262

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 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

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

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

1
2
3
4
5
6
7
8
9
10
Next
Last