We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i.e. repurchases and issues). Following the market timing framework, we develop a two-factor asset pricing model comprising a “market” and a “mispricing” factor, which is able...

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...

We empirically test whether the disposition effect has an asymmetrical impact on the price adjustment on the ex-dividend day of common stocks listed in NYSE and AMEX during the 2001-2008 period. We find that stocks with accrued gains have a greater ex-day price drop ratio (PDR) than stocks with...

In this paper, we conducted an empirical analysis of the impact of implementation of shareholder perks, which attract small investors, on the risks of Japanese stocks. We tested hypotheses on the impact of implementation of shareholder perks on cost of equity capital, idiosyncratic risk, stock...

It is a universally accepted principle that risk and return of investing are commensurate. However, people give more importance to return and risk takes a back seat. This study is an attempt to understand the perceptions of 120 investors in Gandhinagar region towards risk and return of investing...

Optimal investment of firms implies that expected stock returns are tied with the expected marginal benefit of investment divided by the marginal cost of investment. Winners have higher expected growth and expected marginal productivity (two major components of the marginal benefit of...

We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...

The study attempts to assess the influence of investor sentiment onselected sectoral indices returns volatility in the Indian stock market over theperiod from 2015-2019. GARCH, EGARCH, and Bivariate VAR models wereapplied for data analysis after checking unit root issue of the data. Nine...

I examine the role of investor attention on seasoned equity offerings' (SEOs) outcomes. I use an archive of Thomson Reuters' news articles and third-party newswires to proxy for investor attention. I find that the volumes of news articles prior to the offerings are positively associated with the...