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Short Sales Constraints and Momentum in Stock Returns

Ali, Ashiq - 2006

We show that stock characteristics identified by D'Avolio (2002) provide a reliable index of the mostly unobservable short sales constraints. Specifically, we find that this index is positively related to the level of short interest and to short selling costs implied by the disparity in prices...

Persistent link: https://www.econbiz.de/10012733791

Bias in Analysts' Earnings Forecasts as an Explanation for the Long-Run Underperformance of Stocks Following Equity Offerings

Ali, Ashiq - 2006

For firms conducting initial or seasoned equity offerings, recent studies document that their stock returns are lower than those of non-issuers for about five years following the issue, and this underperformance is greater for small issuers. This study shows that analysts' earnings forecasts...

Persistent link: https://www.econbiz.de/10012735764

Short Sales Constraints and Momentum in Stock Returns

Ali, Ashiq - 2003

We find that the magnitude of momentum returns for the period 1983 to 2001 is related to short sales constraint determinants identified by D'Avolio (2002). The signs of the relations are consistent with stocks with higher short sales constraints exhibiting greater momentum returns. Moreover,...

Persistent link: https://www.econbiz.de/10012786476

Residual-Income-Based Valuation Predicts Future Stock Returns : Evidence on Mispricing Versus Risk Explanations

Ali, Ashiq - 2003

Frankel and Lee (1998) show that the value-to-price ratio (Vf/P) predicts future abnormal returns for up to three years, where Vf is an estimate of fundamental value based on a residual income valuation framework operationalized using analyst earnings forecasts. In this study, we examine whether...

Persistent link: https://www.econbiz.de/10012786804

Accruals and Future Stock Returns : Tests of the Naive Investor Hypothesis

Ali, Ashiq - 2000

to understand value-relevant information …

Persistent link: https://www.econbiz.de/10012788804

Residual-Income-Based Valuation Predicts Future Stock Returns : Evidence on Mispricing Versus Risk Explanations

Ali, Ashiq - 2003

Persistent link: https://www.econbiz.de/10012740532

Changes in Institutional Ownership and Subsequent Earnings Announcement Abnormal Returns

Ali, Ashiq - 2008

extreme deciles of changes in institutional ownership, suggesting that institutions trade based on information about future … purchases or sales of stocks, a greater amount of the information on which they base their trades is not impounded in prices … further supports our conclusions regarding informed trading by institutions based on information about forthcoming earnings …

Persistent link: https://www.econbiz.de/10012727105

Pricing and Informational Efficiency of the Mib30 Index Options Market. An Analysis with High Frequency Data

Cassese, Gianluca - 2007

We analyze the pricing and informational efficiency of the Italian market for options written on the most important stock index, the MIB30. We find several indications inconsistent with the hypothesis that the Italian MIBO is an efficient market. We report that a striking percentage of the data...

Persistent link: https://www.econbiz.de/10012732304

Diamonds are Forever, Wars are Not. Is Conflict Bad for Private Firms?

Guidolin, Massimo - 2006

This paper studies the relationship between civil war and the value of firms in a poor, resource abundant country using microeconomic data for Angola. We focus on diamond mining firms and conduct an event study on the sudden end of the conflict, marked by the death of the rebel movement leader...

Persistent link: https://www.econbiz.de/10012735410

The Economic Effects of Violent Conflict : Evidence from Asset Market Reactions

Guidolin, Massimo - 2005

This paper studies the effects of conflict onset on asset markets applying the event study methodology. We consider a sample of 112 conflicts during the period 1974-2004 and find that a sizeable fraction of them had a significant impact on stock market indices and on major commodity prices....

Persistent link: https://www.econbiz.de/10012736003