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Information Quality, Growth Options, and Average Future Stock Returns
Lyle, Matthew R. - 2018
This study finds that the association between future stock returns and information quality depends on how option … returns and information quality is negative (positive) for those firms with equity that is least (most) option-like. These … results are consistent with traditional asset pricing theory and are robust to numerous empirical specifications. Collectively …
Persistent link: https://www.econbiz.de/10012937968
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Do Growth Assets Drive Returns : A Critique of the APRA Heatmap Insights
Evans, John R. - 2020
APRA released their “Heatmap” in December 2019, and the accompanying material related growth assets to investment returns, with the implication that higher exposure to growth assets would result in higher investment returns than otherwise would occur. We have used a statistical and systems...
Persistent link: https://www.econbiz.de/10012823650
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Do Industry Growth Prospects Drive IPO Stock Performance?
Dong, Ming - 2012
factors we consider, and this effect is strongest among IPOs with sparse firm-level information. However, during the Internet … to overreact to the same information during a pronounced market bubble. In the post-bubble period, there is some evidence …
Persistent link: https://www.econbiz.de/10013115063
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Growth vs. value : the effect of the COVID-19 pandemic
Rasiova, Barbara - In: Scientific papers of the University of Pardubice 30 (2022) 2, pp. 1-9
Growth and value are popular terms in the lexicon of finance. For many years, scholars and investment professionals have claimed that value strategies outperform the growth ones, even in major market declines. However, since the early 2010's, this seems to no longer hold, as growth strategies...
Persistent link: https://www.econbiz.de/10014440923
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Characterizing Value and Growth Investing in Institutional Portfolios
Faugère, Christophe - 2010
Using a unique money manager database that allows managers to identify their own investment styles, we examine 4,754 non mutual fund value- and growth-oriented portfolios over the period 1999-2003. Consistent with style definitions, we find that on average, growth funds have price-earnings...
Persistent link: https://www.econbiz.de/10013138275
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End-of-the-year economic growth and time-varying expected returns : a reexamination
Hsiao(Xiao), Shisong - 2021
Møller and Rangvid (2015) report that economic growth at the end of the year is a strong predictor of future stock returns for the post-WWII period, whereas economic growth during the rest of the year does not. Revisiting these results with an extended period 1926-2020, we find that this...
Persistent link: https://www.econbiz.de/10013323390
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Equity Valuation Cannot Outgrow the Economy Over the Long Run
Han, JC - 2016
Macroeconomic Theory and historical evidence suggest that bond prices help cause long-run convergence between stock …
Persistent link: https://www.econbiz.de/10012991589
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Firm Growth Potential and Option Returns
Andreou, Panayiotis C.; Bali, Turan G.; Kagkadis, Anastasios - 2021
This paper shows that firm growth potential – representing a firm's yet-unexercised growth opportunities – is associated with option overpricing and low future delta-hedged option returns. We provide an explanation of this phenomenon based on the idea that retail investors exert buying...
Persistent link: https://www.econbiz.de/10013219539
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Learning from Stock Prices and Economic Growth
Peress, Joel - 2011
acquisition of information about firms, its partial revelation through stock prices, capital allocation and income. The stock …
Persistent link: https://www.econbiz.de/10013120646
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Learning from Stock Prices and Economic Growth
Peress, Joel - 2010
acquisition of information about firms, its partial revelation through stock prices, capital allocation and income. The stock …
Persistent link: https://www.econbiz.de/10013146871