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Avoiding idiosyncratic volatility : flow sensitivity to individual stock returns
Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - 2023
Persistent link: https://www.econbiz.de/10014483227
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The intangibles song in takeover announcements : good tempo, hollow tune
Filipovic, Zoran M.; Wagner, Alexander F. - 2019
Mergers and acquisitions are often motivated by the intention of creating value from intangible assets. We develop a … novel word list of intangibles and apply it to takeover announcements. Deals presented with more “intangibles talk” complete … overoptimism. Overall, takeover announcements can provide important information regarding the quality of deals …
Persistent link: https://www.econbiz.de/10011976989
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Bank loan announcements and borrower stock returns before and during the recent financial crisis
Li, Chunshuo; Ongena, Steven - 2014 - This Draft: March, 2014
The impact of U.S. bank loan announcements on the stock prices of the corporate borrowers has been decreasing during the two last decades with estimated two-day cumulative abnormal returns slipping from almost 200 basis points in the beginning of the 1980s to close to zero by the turn of the...
Persistent link: https://www.econbiz.de/10010412303
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Pricing event risk : evidence from concave implied volatility curves
Alexiou, Lykourgos; Goyal, Amit; Kostakis, Alexandros; … - 2021
We document that implied volatility (IV) curves extracted from short-term equity options frequently become concave prior to the earnings announcement day (EAD) reflecting a bimodal risk-neutral distribution for the underlying stock price. Firms with concave IV curves exhibit significantly higher...
Persistent link: https://www.econbiz.de/10012612931
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Takeover protections and stock returns
Eisdorfer, Assaf; Morellec, Erwan; Zhdanov, Alexei - 2020
We argue that takeover protections decrease equity value and increase equity risk and stock returns by removing a … anti-takeover laws, both domestically and internationally. In line with our predictions, we find that distressed firms … experience a significant decrease in value and increase in returns and market betas after the passage of anti-takeover laws. Pro-takeover …
Persistent link: https://www.econbiz.de/10012419693
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The sources of financing constraints
Nikolov, Boris; Schmid, Lukas; Steri, Roberto - 2018
In order to identify the relevant sources of firms' financing constraints, we ask what financial frictions matter for corporate policies. To that end, we build, solve, and estimate a range of dynamic models of corporate investment and financing, embedding a host of financial frictions. We focus...
Persistent link: https://www.econbiz.de/10011976900
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Real estate company reactions to financial market regulation
Hoesli, Martin; Milcheva, Stanimira; Moss, Alex - 2016
This study investigates how three regulatory reforms undertaken in the aftermath of the global financial crisis have affected returns of real estate companies. The three reforms are aimed at regulating different segments of the market – Basel III targets banks, and could restrict the...
Persistent link: https://www.econbiz.de/10011514259
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Squeezing shorts through social news platforms
Allen, Franklin; Nowak, Eric; Pirovano, Matteo; … - 2021 - This draft: April 12, 2021
At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...
Persistent link: https://www.econbiz.de/10012502167
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Are CoCo bonds a good substitute for equity? : evidence from European banks
Hau, Harald; Hrasko, Gabriela - 2018
Following the 2008-9 financial crisis, large banks increasingly issued contingent convertible bonds (CoCo bonds) to increase their capital buffers – a policy supported by national bank regulators. This paper examines whether the issuance of CoCo bonds provides the same reduction in bank...
Persistent link: https://www.econbiz.de/10011937107
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Feverish stock price reactions to COVID-19
Ramelli, Stefano; Wagner, Alexander F. - 2020
Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...
Persistent link: https://www.econbiz.de/10012181338