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Premium for Heightened Uncertainty : Explaining Pre-Announcement Market Returns
Hu, Grace Xing - 2019
-scheduled macroeconomic announcements. The first risk arises from the uncertain content of the news itself and is directional in nature, while … the second risk is associated with the “heightened uncertainty” in anticipation of a pre-scheduled announcement, relating … in particular to its potential market impact. Theoretically, we show that it is the resolution of this second risk prior …
Persistent link: https://www.econbiz.de/10012870731
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The External Impact of China's Exchange Rate Policy : Evidence from Firm Level Data
Eichengreen, Barry - 2011
We examine the impact of renminbi revaluation on firm valuations, considering two surprise announcements of changes in China's exchange rate policy in 2005 and 2010 and data on 6,050 firms in 44 countries. Renminbi appreciation has a positive effect on firms exporting to China but little...
Persistent link: https://www.econbiz.de/10013118251
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No News is News : Do Markets Underreact to Nothing?
Giglio, Stefano - 2013
consistent with a behavioral model of underreaction to the passage of time and cannot be explained by changes in risk or …
Persistent link: https://www.econbiz.de/10013084725
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Earnings and Dividend Announcements is There a Corroboration Effect?
Kane, Alex - 2008
We examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to determine whether investors evaluate the two announcements in relation to each other.We find that there is a statistically significant interaction effect.The abnormal return...
Persistent link: https://www.econbiz.de/10012774654
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Asset Returns, Discount Rate Changes and Market Efficiency
Smirlock, Michael - 2010
The primary purpose of this paper is to reconcile the previous findings of discount rate endogeneity with the presence of discount rate announcement effects in securities markets. The crux of this reconciliation is the dictinction between quot;technicralquot; discount rate changes that are...
Persistent link: https://www.econbiz.de/10012762968
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Heterogeneous Information Arrivals and Return Volatility Dynamics : Uncovering the Long-Run in High Frequency Returns
Andersen, Torben G. - 2010
Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies are typically observed with high-frequency intradaily...
Persistent link: https://www.econbiz.de/10012763898
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The Effects of Taxes on Market Responses to Dividend Announcements and Payments : What Can We Learn from the 2003 Dividend Tax Cut?
Chetty, Raj - 2009
This paper investigates the effects of capital gains and dividend taxes on excess returns around announcements of dividend increases and ex-dividend days for U.S. corporations. Consistent with standard no-arbitrage conditions, we find that the ex-dividend day premium increased from 2002 to 2004...
Persistent link: https://www.econbiz.de/10012767550
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No News is Good News : An Asymmetric Model of Changing Volatility in Stock Returns
Campbell, John Y. - 2009
It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow for this volatility feedback effect. The resulting...
Persistent link: https://www.econbiz.de/10012767711
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Levered Returns
Welch, Ivo - 2016
Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has...
Persistent link: https://www.econbiz.de/10012994892
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Acquiring Control in Emerging Markets : Evidence from the Stock Market
Chari, Anusha; Ouimet, Paige; Tesar, Linda L. - 2021
When firms from developed markets acquire firms in emerging markets, market-capitalization-weighted monthly joint returns show a statistically significant increase of 1.8%. Panel data estimations suggest that the value gains from cross-border M&A transactions stem from the transfer of majority...
Persistent link: https://www.econbiz.de/10013212613