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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

Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns

Truong, Cameron - 2015

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

Persistent link: https://www.econbiz.de/10013009762

Risk-neutral Skewness, Informed Trading, and the Cross-section of Stock Returns

Chordia, Tarun - 2020

This paper uses the volatility surface data from options contracts to document a strong, robust, and positive cross … trading signals captured by option implied volatility and volume …

Persistent link: https://www.econbiz.de/10012851240

On Long-Run Stock Returns after Corporate Events

Kolari, James W. - 2017

Bessembinder and Zhang (2013) show that long-run abnormal returns after major corporate events detected by the BHAR method using size and book-to-market matched control stocks can be explained by differences between event and control stocks' unsystematic and systematic characteristics. We find...

Persistent link: https://www.econbiz.de/10012971628

Self-Selection and Stock Returns Around Corporate Security Offering Announcements

Dutordoir, Marie - 2012

Stock returns around security offering announcements are conditional on firms' self-selection into a particular security type. We use a switching regression methodology on a data set of U.S. straight debt, convertible debt, and seasoned equity offerings to estimate counterfactual announcement...

Persistent link: https://www.econbiz.de/10013115211

Environmental damage news and stock returns : evidence from Latin America

Cavallo, Eduardo A.; Cepeda, Ana; Panizza, Ugo - 2024

This paper studies the interplay between environmental performance and financial valuation of firms in Latin America and the Caribbean. We provide insights into how environmental considerations are integrated into financial decision-making and investor behavior by analyzing the stock market...

Persistent link: https://www.econbiz.de/10014534744

Environmental damage news and stock returns : evidence from Latin America

Cavallo, Eduardo A.; Cepeda, Ana; Panizza, Ugo - 2024

Persistent link: https://www.econbiz.de/10014529773

Economic Links and Cross-predictability of Stock Returns : Evidence from Characteristic-Based 'Styles'

Müller, Sebastian - 2017

Prior research has shown that information diffuses gradually across stocks that are economically linked at the industry level. I document a similar pattern when stock portfolios are formed based on characteristics that are used in the anomaly literature (e.g., size, value, asset growth)....

Persistent link: https://www.econbiz.de/10012975610

Choosing News Topics to Explain Stock Market Returns

Glasserman, Paul; Krstovski, Kriste; Laliberte, Paul-Robert - 2021

We analyze methods for selecting topics in news articles to explain stock returns. We find, through empirical and theoretical results, that supervised Latent Dirichlet Allocation (sLDA) implemented through Gibbs sampling in a stochastic EM algorithm will often overfit returns to the detriment of...

Persistent link: https://www.econbiz.de/10013223749

Time-varying Media Coverage and Stock Returns

Zheng, Hannan - 2021

I show that news editors have state-dependent preference for different types of firms. Using the New York Times data and natural language processing techniques, I estimate the loadings of media coverage on eight common features of firms and construct the corresponding editor preference. I find...

Persistent link: https://www.econbiz.de/10013238535

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