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Taking Over the Size Effect : Asset Pricing Implications of Merger Activity
Easterwood, Sara; Netter, Jeffry M.; Paye, Bradley S.; … - 2022
We show that merger announcement returns account for virtually all of the measured size premium. An empirical proxy for … ex ante takeover exposure positively and robustly relates to cross-sectional expected returns. The relation between size … and expected returns becomes positive or insignificant, rather than negative, conditional on this takeover characteristic …
Persistent link: https://www.econbiz.de/10013293043
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Empirical Social Asset Pricing
Hwang, Byoung-Hyoun - 2022
I review the empirical literature on word of mouth (WOM) among investors. I begin with an outline of the empirical challenges that WOM research faces and possible strategies to overcome those challenges. I then discuss recent studies on WOM among retail and institutional investors. The research...
Persistent link: https://www.econbiz.de/10013406015
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Probability Weighting and Asset Prices : Evidence from Mergers and Acquisitions
Wang, Baolian - 2017
For mergers and acquisitions with a small failure probability, the average decline in target stock price if the deal fails is much larger than the average increase that accompanies deal success. Probability weighting implies that the deal failure probability of such target stocks will be...
Persistent link: https://www.econbiz.de/10012973524
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When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...
Persistent link: https://www.econbiz.de/10014352071
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Intangibles and Expected Stock Returns
Rizova, Savina - 2020
Intangible assets have always been part of the economic landscape. In this study we examine the impact of intangibles, both internally developed and externally acquired, on our ability to identify differences in expected stock returns. Our research does not find compelling evidence that we...
Persistent link: https://www.econbiz.de/10012822650
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Evaluation of the event study in the case of mergers and acquisitions
Bîlteanu, Dragoș-George; Stancu, Irina - In: Theoretical and applied economics : GAER review 31 (2024) 1/638, pp. 295-312
Persistent link: https://www.econbiz.de/10014521052
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Beta risk and price synchronicity of bank acquirers' common stock following merger announcements
Bozos, Konstantinos; Koutmos, Dimitrios; Song, Wei - In: Journal of international financial markets, … 27 (2013), pp. 47-58
Persistent link: https://www.econbiz.de/10010411753
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Explaining the cross-sectional patterns of UK expected stock returns : the effect of intangibles
Saleh, Walid - In: International journal of financial research 5 (2014) 2, pp. 160-170
Persistent link: https://www.econbiz.de/10010459775
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Application of an intangible asset valuation model using panel data for listed enterprises in Vietnam
Quan Minh Quoc Binh; Nguyen Minh Ha; Ngo Thi Huyen Trang - In: Investment management and financial innovations 17 (2020) 1, pp. 304-316
Persistent link: https://www.econbiz.de/10012301316
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Wall Street Watches Washington : Asset-Pricing Implications of Policy Uncertainty
verhoeks, ralph - 2020
We study the effect of economic policy uncertainty (EPU) on sell-side analysts' forecasts, and how it interact with the stock-market response to a firm's earnings news. We find that analysts tend to disagree more when faced with higher levels of EPU, and that their forecasts tend to be less...
Persistent link: https://www.econbiz.de/10012834041