Similar Search Results

Explaining Returns with Cash-Flow Proxies

Hecht, Peter - 2005

cash-flow proxies. The correlation between cash-flow proxies and stock returns may arise from association of cash-flow … proxies with one-period expected returns, cash-flow news, and/or expected-return news. We use Campbell's (1991) return … decomposition to measure the relative importance of these three effects in regressions of returns on cash-flow proxies. In some of …

Persistent link: https://www.econbiz.de/10012467516

Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium

Lettau, Martin - 2005

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference between value and growth stocks, we introduce a...

Persistent link: https://www.econbiz.de/10012467541

Profitable Investments or Dissipated Cash? Evidence on the Investment-Cash Flow Relationship From Oil and Gas Lease Bidding

Bertrand, Marianne - 2005

The strong positive relationship between corporate cash flow and investment has been interpreted through the lens of both agency- and non-agency-based models. In this paper, we distinguish between these two interpretations using project-level data in the oil and gas industry. The specific...

Persistent link: https://www.econbiz.de/10012467559

The Cost of US Pharmaceutical Price Reductions : A Financial Simulation Model of R&D Decisions

Abbott, Thomas A. - 2005

Previous empirical studies that have examined the links between pharmaceutical price controls, profits, cash flows, and investment in research and development (R&D) have been largely based on retrospective statistical analyses of firm- and/or industry-level data. These studies, which have...

Persistent link: https://www.econbiz.de/10012467571

Bank Ties and Bond Market Access : Evidence on Investment-Cash Flow Sensitivity in Japan

McGuire, Patrick - 2003

The banking literature has established that banks can alleviate information asymmetries between lenders and borrowers, while the Q literature has used cash flow sensitivity analysis to test whether financing constraints hinder investment. This paper investigates whether bank ties in Japan were...

Persistent link: https://www.econbiz.de/10012469054

The cash flow, return and risk characteristics of private equity

Ljungqvist, Alexander - 2003

Using a unique dataset of private equity funds over the last two decades, this paper analyzes the cash flow, return, and risk characteristics of private equity. We document the draw down and capital return schedules for the typical private equity fund, and show that it takes several years for...

Persistent link: https://www.econbiz.de/10012469249

Corporate Demand for Liquidity

Almeida, Heitor - 2002

This paper proposes a theory of corporate liquidity demand and provides new evidence on corporate cash policies. Firms have access to valuable investment opportunities, but potentially cannot fund them with the use of external finance. Firms that are financially unconstrained can undertake all...

Persistent link: https://www.econbiz.de/10012469456

The Time Series of the Cross Section of Asset Prices

Menzly, Lior - 2002

In this paper we propose a general equilibrium model that successfully reproduces the historical experience of the cross section of US stock prices as well as the realized history of the market portfolio. The model achieves this while addressing traditional concerns in the asset pricing...

Persistent link: https://www.econbiz.de/10012469492

Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions

Cohen, Randolph B. - 2002

vector autoregession to examine the joint behavior of returns, cash-flow news, and trading between individuals and … institutions. Our main finding is that institutions buy shares from individuals in response to good cash-flow news, thus exploiting … absence of positive cash-flow news, institutions sell shares to individuals. Although institutions are trading in the 'right …

Persistent link: https://www.econbiz.de/10012469922

What Explains the Lagged Investment Effect?

Eberly, Janice C. - 2011

empirically more important than the cash-flow and Q effects combined. We show that the specification of investment adjustment …

Persistent link: https://www.econbiz.de/10012461768