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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

Market timing, investment, and risk management

Bolton, Patrick; Chen, Hui; Wang, Neng - In: Journal of Financial Economics 109 (2013) 1, pp. 40-62

The 2008 financial crisis exemplifies significant uncertainties in corporate financing conditions. We develop a unified dynamic q-theoretic framework where firms have both a precautionary-savings motive and a market-timing motive for external financing and payout decisions, induced by stochastic...

Persistent link: https://www.econbiz.de/10010665552

Dynamic risk management

Rampini, Adriano A.; Sufi, Amir; Viswanathan, S. - In: Journal of Financial Economics 111 (2014) 2, pp. 271-296

Both financing and risk management involve promises to pay that need to be collateralized, resulting in a financing versus risk management trade-off. We study this trade-off in a dynamic model of commodity price risk management and show that risk management is limited and that more financially...

Persistent link: https://www.econbiz.de/10010737670

Collateral and capital structure

Rampini, Adriano A.; Viswanathan, S. - In: Journal of Financial Economics 109 (2013) 2, pp. 466-492

We develop a dynamic model of investment, capital structure, leasing, and risk management based on firms' need to collateralize promises to pay with tangible assets. Both financing and risk management involve promises to pay subject to collateral constraints. Leasing is strongly collateralized...

Persistent link: https://www.econbiz.de/10010678713

Learning and the disappearing association between governance and returns

Bebchuk, Lucian A.; Cohen, Alma; Wang, Charles C.Y. - In: Journal of Financial Economics 108 (2013) 2, pp. 323-348

The correlation between governance indices and abnormal returns documented for 1990–1999 subsequently disappeared. The correlation and its disappearance are both due to market participants' gradually learning to appreciate the difference between good-governance and poor-governance firms....

Persistent link: https://www.econbiz.de/10010664042

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

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

Dispersion in beliefs among active mutual funds and the cross-section of stock returns

Jiang, Hao; Sun, Zheng - In: Journal of Financial Economics 114 (2014) 2, pp. 341-365

We propose a measure of dispersion in fund managers׳ beliefs about future stock returns based on their active holdings, i.e., deviations from benchmarks. We find that both the level of and the change in dispersion positively predict subsequent stock returns on a risk-adjusted basis. This effect...

Persistent link: https://www.econbiz.de/10011039248

Does risk management matter? Evidence from the U.S. agricultural industry

Cornaggia, Jess - In: Journal of Financial Economics 109 (2013) 2, pp. 419-440

This article constructs triple-difference tests around shifts in the supply of risk management instruments available to agricultural producers to reveal a positive relation between risk management and productivity. This relation is more robust when producers adopt instruments with payoffs linked...

Persistent link: https://www.econbiz.de/10010678709

Credit lines as monitored liquidity insurance: Theory and evidence

Acharya, Viral; Almeida, Heitor; Ippolito, Filippo; … - In: Journal of Financial Economics 112 (2014) 3, pp. 287-319

We propose a theory of credit lines provided by banks to firms as a form of monitored liquidity insurance. Bank monitoring and resulting revocations help control illiquidity-seeking behavior of firms insured by credit lines. The cost of credit lines is thus greater for firms with high liquidity...

Persistent link: https://www.econbiz.de/10010776498

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