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Investor Co-Attention and Stock Market Comovement
Symitsi, Efthymia - 2017
proxy, "co-attention", that measures the correlation in demand for market-wide information across stock markets approximated … news supply on stock markets, lending support to the idea that information demand governs investing decisions. Co … volatility transmission indirectly across markets …
Persistent link: https://www.econbiz.de/10012941907
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the … imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial … listing requirements on the various markets. We analyze the IPO techniques: the fixed-price offerings, auctions, book …
Persistent link: https://www.econbiz.de/10013026463
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Information Asymmetry, Information Precision, and the Cost of Capital
Lambert, Richard A. - 2011
This paper examines the relation between information differences across investors (i.e., information asymmetry) and the cost of capital, and establishes that with perfect competition information asymmetry makes no difference. Instead, a firm's cost of capital is governed solely by the average...
Persistent link: https://www.econbiz.de/10013126051
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Market Inefficiency and Implied Cost of Capital Models
Rusticus, Tjomme O. - 2019
In this paper, I examine the impact of market inefficiency on the properties of implied cost of capital (ICC) estimates. I show that market inefficiency will bias the relation between the ICC estimate and future returns upwards. Utilizing recently developed ICC estimates formed using regression...
Persistent link: https://www.econbiz.de/10012905812
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Trust and Certification in Financial Markets : Evidence from Reactions to Earnings News
Wei, Chishen - 2019
We show that a lack of investor trust affects the revision of cash flow expectations and delays the incorporation of accounting information into the stock price. To overcome investors' dependence on trust, managers can obtain external certification—either through credit ratings or by employing...
Persistent link: https://www.econbiz.de/10012904810
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Increased information content of earnings announcements in the 21st century : an empirical investigation
Beaver, William H.; McNichols, Maureen; Wang, Zach Z. - 2018
We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...
Persistent link: https://www.econbiz.de/10011873121
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The Sophisticated and the Simple : The Profitability of Contrarian Strategies from a Portfolio Manager’s Perspective
Giamouridis, Daniel - 2013
Valuation signals have been among the most popular between equity portfolio managers. Given the large variation of … interest to equity portfolio managers. Our results show that sophisticated valuation models are superior – although not … attributes and, in general, should be considered as an additional if not primary perspective on equity valuation and portfolio …
Persistent link: https://www.econbiz.de/10013094551
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Does Unusual News Forecast Market Stress?
Glasserman, Paul - 2018
We find that an increase in the ``unusualness'' of news with negative sentiment predicts an increase in stock market volatility. Similarly, unusual positive news forecasts lower volatility. Our analysis is based on more than 360,000 articles on 50 large financial companies, published in...
Persistent link: https://www.econbiz.de/10012937126
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Fair Value and the Formation of Financial Market Prices Through Ignorance and Hazard
Biondi, Yuri - 2018
Fair value refers to current values as the backbones of accounting measurements. Current value follows the efficient financial market (EFM) hypothesis - which abstracts away from economic realization - as guidance for the financial market investment process through ignorance and hazard. This...
Persistent link: https://www.econbiz.de/10012924113
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Complexity of ECB communication and financial market trading
Hayo, Bernd; Henseler, Kai; Rapp, Marc Steffen - 2019
We examine howthe verbal complexity of ECB communications affectsfi-nancial market trading based on high-frequency data fromEuropean stock index futures trading. Studying the 34 events between May 2009 and June 2017, during which the ECB Governing Council press conferences covered unconventional...
Persistent link: https://www.econbiz.de/10012039675