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applications it has been shown by various authors that low risk portfolios outperform the market capitalization weighted portfolio …. We revisit this anomaly using high-frequency data to construct low risk portfolios for the S&P 500 constituents over the … period 2007-2012. The portfolios that we consider are invested in the 100 lowest risk stocks and apply either equal …
Persistent link: https://www.econbiz.de/10013030547
Persistent link: https://www.econbiz.de/10009615113
risk (beta). Financial leverage and beta are usually considered as two proxies of risk derived from different domains: one … moderating-variable impact of size on the relation between financial leverage and systematic risk. On the other hand, however … leverage and systematic risk were well documented. Inter-temporally, financial leverage is significantly and symmetrically …
Persistent link: https://www.econbiz.de/10012930529
risk (beta). Financial leverage and beta are usually considered as two proxies of risk derived from different domains: one … moderating-variable impact of size on the relation between financial leverage and systematic risk. On the other hand, however … leverage and systematic risk were well documented. Inter-temporally, financial leverage is significantly and symmetrically …
Persistent link: https://www.econbiz.de/10012930628
This paper examines how changes in firms’ risk disclosures affect a key market measure of risk. Our proxy for changes … in risk disclosures is the addition and removal of individual risk factors to firms’ 10-K annual filings, identified via … textual analysis of the risk factors section. Our market measure proxy for risk is the variance risk premium (VRP), which …
Persistent link: https://www.econbiz.de/10013291054
This study examines the impact of geographically nearby major customers on suppliers’ stock price crash risk. Using a … of supplier−customer proximity on crash risk is more pronounced for suppliers with lower corporate transparency and … customers reduce suppliers’ crash risk: fewer financial restatements and higher accounting conservatism of suppliers. The …
Persistent link: https://www.econbiz.de/10013406251
Persistent link: https://www.econbiz.de/10009750124
IFRS adoption in Brazil. The event study methodology was applied for the analysis of three public non-financial companies …
Persistent link: https://www.econbiz.de/10012870588
The purpose of this paper is to examine the interactions between corporate social responsibility and financial performance in the form of stock returns for a sample of US firms over at two year period beginning in 2002. The work uses a set of disaggregated social responsibility indicators for...
Persistent link: https://www.econbiz.de/10013024219
This study examines when and how tax reform impacts the pricing of IPOs. Using the Tax Cuts and Jobs Act of 2017 (TCJA), we examine IPO pricing during the periods of anticipated and post-tax reform. First, we document that firms completing an IPO following the passage of the TCJA experience an...
Persistent link: https://www.econbiz.de/10012836213