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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
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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
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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
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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
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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
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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
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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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Reuters Sentiment and Stock Returns
Uhl, Matthias - 2016
Sentiment from over 3.6 million Reuters news articles is tested in a vector autoregression model framework on its ability to forecast returns of the Dow Jones Industrials stock index. We show that Reuters sentiment can explain and predict changes in stock returns better than macroeconomic...
Persistent link: https://www.econbiz.de/10013008517
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Investor Sentiment, Soccer Games and Stock Returns
Dimic, Nebojsa - 2015
This study examines two determinants of investor sentiment (ex-ante evaluation of future value-related events and ex-post reaction to event outcomes) using the data on soccer games and betting odds. Results suggest that the magnitude and the character of investor reactions vary considerably...
Persistent link: https://www.econbiz.de/10013020256
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Music Sentiment and Stock Returns Around the World
Edmans, Alex; Fernandez-Perez, Adrian; Garel, Alexandre; … - 2021
sentiment precedes a rise in stock market volatility. It is negatively associated with government bond returns, consistent with …
Persistent link: https://www.econbiz.de/10013241697