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Dividends versus Stock Repurchases and Long-Run Stock Returns under Heterogeneous Beliefs

Bayar, Onur - 2017

We analyze a firm's choice between dividend payments and stock repurchases under heterogeneous beliefs and the subsequent long-term stock return performance of firms adopting the two forms of payout. Firm insiders, owning a certain fraction of its equity, choose between paying out its cash...

Persistent link: https://www.econbiz.de/10012974192

A Theory of Capital Structure, Price Impact, and Long-Run Stock Returns under Heterogeneous Beliefs

Bayar, Onur - 2016

We study an environment with short sale constraints and heterogeneous beliefs among outsiders and between insiders and outsiders. Firm insiders choose between equity, debt, and convertible debt to raise external financing. We analyze two settings: one where heterogeneous beliefs is the only...

Persistent link: https://www.econbiz.de/10013008933

Do Personal Taxes Affect Investment Decisions and Stock Returns?

Kontoghiorghes, Alexander P. - 2021

I study the causal effects of personal investment taxes on stock demand, stock returns, and the dividend policy of companies. I exploit a change in legislation in 2013 which allowed stocks listed on the Alternative Investment Market, a sub-market of the London Stock Exchange, to be held in a...

Persistent link: https://www.econbiz.de/10013243333

Do Personal Taxes Affect Investment Decisions and Stock Returns?

Kontoghiorghes, Alexander P. - 2022

This paper studies the causal effects of personal investment taxes on stock demand, stock returns, and the financial decisions of companies. I exploit a change in legislation in 2013 which allowed stocks listed on the Alternative Investment Market, a sub-market of the London Stock Exchange, to...

Persistent link: https://www.econbiz.de/10013404343

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Simple market timing with moving averages

Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018

average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …

Persistent link: https://www.econbiz.de/10011848115

Sentiment and uncertainty

Birru, Justin; Young, Trevor - 2020

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...

Persistent link: https://www.econbiz.de/10012216707

CEO-speeches and stock returns

Bannier, Christina E.; Pauls, Thomas; Walter, Andreas - 2017

We analyze the market reaction to the sentiment of the CEO speech at the Annual General Meeting (AGM). As the AGM is typically preceded by several information disclosures, the CEO speech may be expected to contribute only marginally to investors' decision-making. Surprisingly, however, we...

Persistent link: https://www.econbiz.de/10011755953

News-based Investor Disagreement and Cross Section of Stock Returns

Li, Sophia Zhengzi; Luan, Zeyao - 2023

to disagree on its interpretation. Specifically, we measure firm-level investor disagreement by the intraday volume-volatility …

Persistent link: https://www.econbiz.de/10014352473

Text-Based Industry Momentum

Hoberg, Gerard - 2017

We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum. We consider industry peer firms identified through 10-K product text and focus on economic peer links that do not share common SIC codes. Shocks to less visible peers generate...

Persistent link: https://www.econbiz.de/10012972674

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