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Size and momentum profitability in international stock markets

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2015 - This version: August 25, 2015

We study the link between the profitability of momentum strategies and firm size, drawing on an extensive dataset … covering 14 stock markets across the globe. International momentum profitability is markedly higher in medium-size than in big … incurred when implementing this strategy. Thus, while small stocks exhibit momentum, exploiting this feature is hardly feasible …

Persistent link: https://www.econbiz.de/10011412159

Information leakages, distribution of profits from informed trading, and last mover advantage

Pankratov, Andrey - 2020

I model a market in which a trader with superior information about an asset is subject to careful scrutiny by another agent who immediately observes the trading decisions of the informed agent with some noise and engages in (klepto)parasitic behavior by imicking the informed trader and trading...

Persistent link: https://www.econbiz.de/10012271223

Gradual portfolio adjustment : implications for global equity portfolios and returns

Bacchetta, Philippe; Van Wincoop, Eric - 2017

Modern open economy macro models assume the continuous adjustment of international portfolio allocation. We introduce gradual portfolio adjustment into a global equity market model. Our approach differs from related literature in two key dimensions. First, the time interval between portfolio...

Persistent link: https://www.econbiz.de/10011761264

Lured by the consensus

Michaely, Roni; Rubin, Amir; Segal, Dan; Vedrashko, … - 2019

We find that investors are fixated on analysts' consensus outputs (earnings forecasts, recommendations, and forecast dispersion), which can be inferior signals compared to the corresponding outputs provided by high-quality analysts, especially when a large number of high-quality analysts follow...

Persistent link: https://www.econbiz.de/10012003008

Earnings management and managerial compensation

Bachmann, Kremena; Hens, Thorsten - 2017

This paper studies the earnings management behavior of a manager in a strategic game in which the manager may have incentives to avoid earnings below the analysts' consensus forecast and the analysts aiming to provide accurate forecasts behave as rational Bayesians. Our analysis reveals the...

Persistent link: https://www.econbiz.de/10011875852

Economic Consequences of Banks’ Use of their Discretion over the Accounting and Regulatory Treatment of Investment Securities

Arnold, Marc; Dong, Minyue; Oberson, Romain - 2022

The current accounting and regulatory framework grants banks considerable discretion in the treatment of investment securities. We show that banks' use of this discretion increases the information asymmetry reflected in their equity prices. In addition, we find that this source of bank opacity...

Persistent link: https://www.econbiz.de/10014235928

Global Evidence on Profit Shifting Within Firms and Across Time

Delis, Fotis; Delēs, Manthos D.; Laeven, Luc; Ongena, … - 2022

We provide the first global estimates of profit shifting at the subsidiary-year level. Employing nonparametric estimation techniques within a mainstay model of profit shifting, we examine the subsidiary-year responses of earnings to the composite tax indicator faced by all subsidiaries of a...

Persistent link: https://www.econbiz.de/10014238187

Corporate Green Bonds : The Role of External Reviews for Investment Greenness and Disclosure Quality

Dinh, Tami; Eugster, Florian; Husmann, Anna - 2023

Based on signaling theory, we examine the role of external reviews during the life-cycle of corporate green bonds. We focus on (1) whether investment greenness is related to external review upon issuing a green bond and (2) whether disclosure quality is positively associated with the assurance...

Persistent link: https://www.econbiz.de/10014351070

Momentum crashes

Daniel, Kent; Moskowitz, Tobias J. - 2013

premium attached to the option-like payoffs of past losers. An implementable dynamic momentum strategy based on forecasts of … each momentum strategy's mean and variance generates an unconditional Sharpe ratio approximately double that of the static … momentum strategy. Further, we show that momentum returns in panic states are correlated with, but not explained by, volatility …

Persistent link: https://www.econbiz.de/10010257503

Momentum Without Crashes

Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022

. Our extensive out-of-sample analysis shows that the new fractional momentum strategy not only achieves significantly …

Persistent link: https://www.econbiz.de/10014236192

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