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Taking Over the Size Effect : Asset Pricing Implications of Merger Activity
Easterwood, Sara; Netter, Jeffry M.; Paye, Bradley S.; … - 2022
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 …. Asset pricing models that include a factor based on the takeover characteristic outperform otherwise similar models that …
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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Dissecting Bidder Security Returns on Payment Methods
Li, Lily - 2018
The choice of payment methods in M&A deals can affect bidder stock and bond value through two channels simultaneously: signaling and wealth transfer. We propose a method to disentangle these two effects by combining observed bidder stock and bond abnormal returns around deal announcements. Our...
Persistent link: https://www.econbiz.de/10012908436
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Price, Cultural Dimensions, and the Cross-Section of Expected Stock Returns
Hammerich, Ulrich - 2019
We document a nominal stock price effect that is (like momentum) associated with (national) culture. Using the full spectrum of cultural dimensions proposed by Hofstede et al. and the cross-section of stock returns of 41 countries, we not only show a robust predictive and explanatory power of...
Persistent link: https://www.econbiz.de/10012861754
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012242861
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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
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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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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
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The Persistence and Pricing of Merger-Related Transitory Growth and Its Implications for Growth Anomalies and Asset Pricing Models
Collins, Daniel W. - 2015
Prior literature in accounting and financial economics measures asset growth as year-over-year growth in total assets. Such growth estimates are upward biased when firms engage in mergers and acquisitions. We decompose asset growth into merger-related and organic growth components, and find that...
Persistent link: https://www.econbiz.de/10013036298