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In this study, we examine the predictability of firm-specific stock price crashes using modern machine learning techniques and develop a crash prediction model that utilizes both financial ratios and textual data from the Management Discussion and Analysis (MD&A) of 10-K files. We show that...
Persistent link: https://www.econbiz.de/10013295516
Corporate reputation has deserved attention in recent years from firms and researchers given its impact on creating a competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in addition to being less studied, still presents...
Persistent link: https://www.econbiz.de/10014295000
The evidence on the dependence relationship of idiosyncratic risks among public-listed banks is unclear in the presence of bailout event in recent financial crisis. There is suspicion on the effects of bailout regimes on the idiosyncratic risks distribution among different size-paired banks. We...
Persistent link: https://www.econbiz.de/10013086564
Persistent link: https://www.econbiz.de/10015135490
We investigate the impact of fraud risk - measured by the probability for earnings overstatements - on a firm's future stock market performance. Based on an out-of-sample estimation of individual firms' fraud risk, we find that stocks with higher fraud risk earn significantly lower stock market...
Persistent link: https://www.econbiz.de/10012904134
Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether cybersecurity risk is priced in the cross-section of stock returns....
Persistent link: https://www.econbiz.de/10012419704
We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays intuitive relations with quantitative measures of...
Persistent link: https://www.econbiz.de/10012387622
It is well known that the market-to-book equity ratio and total asset growth are negatively associated with future stock returns. Much less known is that the predictabilities are related through the mispricing channel. We show that the growth-value anomaly is governed by ex-ante total asset...
Persistent link: https://www.econbiz.de/10012964451
It is well known that the market-to-book equity ratio and total asset growth are negatively associated with future stock returns. Much less known is that the predictabilities are related through the mispricing channel. We show that the growth-value anomaly is governed by ex-ante total asset...
Persistent link: https://www.econbiz.de/10012982614
. The theory offers untested empirical implications about volume, volatility, fundamental/price ratios, and mean returns …
Persistent link: https://www.econbiz.de/10012918741