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Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle

Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos S - 2021

We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of the stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for the fundamental–based news while...

Persistent link: https://www.econbiz.de/10013322478

Profit Persistence and Stock Returns : Does the Market Care?

McMillan, David G. - 2018

We examine the relation between stock returns and profit persistence. Profit persistence is an indicator of competitive … managerial ability and three different measures of profit, we establish that persistence typically increases in firm size, market …-level results regarding the cash flow and risk premium drivers. Also, for competition policy where results show higher profit …

Persistent link: https://www.econbiz.de/10012914860

Expected profitability, the 52-week high and the idiosyncratic volatility puzzle

Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: The European journal of finance 29 (2023) 14, pp. 1621-1648

Persistent link: https://www.econbiz.de/10014387954

Profit persistence revisited : the case of the UK

McMillan, David G.; Wohar, Mark E. - In: The Manchester School 79 (2011) 3, pp. 510-527

Persistent link: https://www.econbiz.de/10009266797

Do firm sizes and profit rates converge? : Evidence on Gibrat's Law and the persistence of profits in the long run

Goddard, John A.; McMillan, David G.; Wilson, John O. S. - In: Applied economics 38 (2006) 3, pp. 267-278

Persistent link: https://www.econbiz.de/10003294001

US bank market structure : evolving nature and implications

McMillan, David G.; McMillan, Fiona J. - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 187-210

Persistent link: https://www.econbiz.de/10011667847

Dividends, prices and the present value model : firm-level evidence

Goddard, John A.; McMillan, David G.; Wilson, John O. S. - In: The European journal of finance 14 (2008) 3/4, pp. 195-210

Persistent link: https://www.econbiz.de/10003744772

The price-dividend ratio and limits to arbitrage : evidence from a time-varying ESTR model

McMillan, David G. - In: Economics letters 91 (2006) 3, pp. 408-412

Persistent link: https://www.econbiz.de/10003333694

Asymmetric patterns in international stock prices : evidence of random walk and reverting behaviour

McMillan, David G. - In: International economics & finance journal : (IEFJ) 2 (2007) 1/2, pp. 109-126

Persistent link: https://www.econbiz.de/10003791280

Bubbles in the dividend-price ratio? : evidence from an asymmetric exponential smooth-transition model

McMillan, David G. - In: Journal of banking & finance 31 (2007) 3, pp. 787-804

Persistent link: https://www.econbiz.de/10003429782

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