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Eisdorfer, Assaf; Morellec, Erwan; Zhdanov, Alexei - 2020

We argue that takeover protections decrease equity value and increase equity risk and stock returns by removing a … anti-takeover laws, both domestically and internationally. In line with our predictions, we find that distressed firms … experience a significant decrease in value and increase in returns and market betas after the passage of anti-takeover laws. Pro-takeover …

Persistent link: https://www.econbiz.de/10012419693

Factor Beta, Overnight and Intraday Expected Returns in China

Jiang, Danling; Luo, Yunfeng; Ye, Zhengke - 2022

We study the relationship between the Fama and French (2015) five factors’ betas and the expected overnight versus intraday stock returns in China’s A-share markets. We find that factor betas and expected returns exhibit contrasting relationships overnight versus intraday. The market, value,...

Persistent link: https://www.econbiz.de/10013405180

Event Study Analysis with Time-Varying Alphas, Betas and Variances : The Case of M&As

Irani, Mohammad (Vahid) - 2020

This paper proposes a new approach to control the effects of time-varying parameters on the estimates of abnormal returns. Event studies usually assume that the parameters of the market model are stable. Using a sample of firm takeovers, however, I find that this assumption is indeed rejected....

Persistent link: https://www.econbiz.de/10012854703

Market Beta (β) and Stock Returns - An Analysis of Select Gulf Companies

Elango, Dr. Rengasamy - 2010

The present study examines the association, if any, between the market beta (β) and the risk-return pattern of selected companies in one of the Gulf Markets, the Muscat Securities Market. A sample of thirty companies was drawn applying suitable sampling methods. Market Beta (β) was computed...

Persistent link: https://www.econbiz.de/10013152317

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is composed by the risk-free rate, equity market return and each respective beta. However, there is a fundamental complication between the risk, cost and return for the equity...

Persistent link: https://www.econbiz.de/10012907181

Beware of the Crash Risk : Tail Beta and the Cross-Section of Stock Returns in China

Long, Huaigang - 2019

We investigate the pricing of systematic tail risk measured by tail beta in the Chinese equity market. Using an array of tests, we examine the performance of more than 3,300 stocks for the years 1999 through 2018. Contrary to evidence from developed markets, we demonstrate a strong negative...

Persistent link: https://www.econbiz.de/10012890609

Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement

Phin, Andrew - 2018

Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program (TARP) announcement and find that its...

Persistent link: https://www.econbiz.de/10012938344

A Lottery Demand-Based Explanation of the Beta Anomaly

Bali, Turan G. - 2016

The low (high) abnormal returns of stocks with high (low) beta - the beta anomaly - is one of the most persistent anomalies in empirical asset pricing research. This paper demonstrates that investors' demand for lottery-like stocks is an important driver of the beta anomaly. The beta anomaly is...

Persistent link: https://www.econbiz.de/10013006629

Mood Beta and Seasonalities in Stock Returns

Hirshleifer, David A. - 2020

Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. We hypothesize that assets' different sensitivities to investor mood explain these effects and imply other seasonalities....

Persistent link: https://www.econbiz.de/10012854886

Role of size and risk effects in value anomaly : evidence from the Indian stock market

Sharma, Mehak; Jain, Anshul - In: Cogent economics & finance 8 (2020) 1, pp. 1-12

Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the...

Persistent link: https://www.econbiz.de/10013179656

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