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Equity Financing, Equity Lending, and Price Pressure : The Case of DRIP Arbitrage

Ang, Tze Chuan 'Chewie' - 2020

additional shares at a discount. We provide evidence on DRIP arbitrage where DRIP arbitrageurs extract the DRIP discount through … arbitrage. DRIP arbitrage increases search costs in the equity lending market and creates negative price pressure in the stock … market around dividend dates. Restrictions on equity lending impede DRIP arbitrage and negatively affect equity financing …

Persistent link: https://www.econbiz.de/10012839769

The Term Structure of Implied Costs of Equity Capital

Callen, Jeffrey L. - 2019

We model and estimate the term structure of implied costs of equity capital (and implied risk premia) at the firm level for the years 1996-2015 from forward looking option contracts. Empirical tests reject the assumption that the term structure of implied firm-level costs of equity is constant...

Persistent link: https://www.econbiz.de/10012870418

The Informational Role of Stock and Bond Volume

Back, Kerry - 2014

In a Kyle (1985) model, the sign of the correlation between a firm's debt and equity returns is the same as the sign of the cross-market Kyle's lambda. The sign is positive (negative) if private information concerns the mean (risk) of the firm's assets. We show empirically that information...

Persistent link: https://www.econbiz.de/10013064518

Does Religion Matter to Equity Pricing?

El Ghoul, Sadok - 2014

For a sample comprised of 36,105 U.S. firm-year observations from 1985 to 2008, we find that firms located in more religious counties enjoy cheaper equity financing costs. This result is robust to a battery of sensitivity tests, including alternative assumptions and model specifications,...

Persistent link: https://www.econbiz.de/10013066493

Disclosure and the Cost of Equity Capital : An Analysis at the Market Level

Li, Yan - 2014

This study examines whether market-wide disclosure reduces the market cost of capital. Using a sample of management forecasts issued between 1994 and 2010, we find that an increase in disclosure at the aggregate level results in a lower market cost of capital. This result is robust to...

Persistent link: https://www.econbiz.de/10013067079

A Supply Approach to Valuation

Belo, Frederico - 2013

A new methodology for equity valuation arises from the perspective of managers' supply of capital assets. Under q-theory, managers optimally adjust the supply of assets to changes in their market value. The first-order condition of investment then provides a valuation equation that infers asset...

Persistent link: https://www.econbiz.de/10013076513

The Pricing of Global Temperature Shocks in the Cost of Equity Capital

Gregory, Richard Paul - 2020

Using an APT model where global temperature shocks are a systematically priced factor, the risk premium is significant and positive. Evidence is provided that positive exposure to temperature shocks is related to increasing CO2 emissions by an industry or region. The global impact on the cost of...

Persistent link: https://www.econbiz.de/10012835787

Investor Sentiment, Beta, and the Cost of Equity Capital

Antoniou, Constantinos - 2019

The security market line (SML) accords with the capital asset pricing model (CAPM) by taking on an upward slope in pessimistic sentiment periods, but is downward sloping during optimistic periods. We hypothesize that this finding obtains because periods of optimism attract equity investment by...

Persistent link: https://www.econbiz.de/10012905600

Heterogeneous Intermediary Asset Pricing

Kargar, Mahyar - 2020

I show that the composition of the financial sector has important asset pricing implications beyond the health of the aggregate financial sector. To assess the impact of massive balance sheet adjustments within the intermediary sector during the Great Recession and resolve conflicting asset...

Persistent link: https://www.econbiz.de/10012851231

Analysts’ Estimates of the Cost of Equity Capital

Balakrishnan, Karthik - 2020

We explore a large sample of analysts' estimates of cost of equity capital (CoE) revealed in analysts' reports to evaluate their determinants and ability to capture expected stock returns. We first document that CoE estimates are more likely to be provided by less experienced and less busy...

Persistent link: https://www.econbiz.de/10012852840

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