Showing 1 - 10 of 1,031
This study aims to test and analyze the effect of capital structure, profitability, investment opportunity set, firm value, earnings per share, and dividend policy, on stock returns. Our research uses regression analysis to determine and analyze the influence of independent variables on...
Persistent link: https://www.econbiz.de/10014442351
Dividends have long been perceived as a way for firms to reward investors. However, managers are likely to inflate return on equity (ROE) by paying out dividends because doing so reduces owners’ equity. We utilize performance-vesting equity incentive plans that adopt ROE as the performance...
Persistent link: https://www.econbiz.de/10014352507
We propose a risk-based firm-type explanation on why stocks of firms with high relative short interest (RSI) have lower future returns. We argue that these firms have negative alphas because they are a hedge against expected aggregate volatility risk. Consistent with this argument, we show that...
Persistent link: https://www.econbiz.de/10013037671
The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The aggregate volatility risk factor can explain the abnormal...
Persistent link: https://www.econbiz.de/10013039417
We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance...
Persistent link: https://www.econbiz.de/10013149934
We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average levered investment returns to average observed stock...
Persistent link: https://www.econbiz.de/10013150596
We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average levered investment returns to average observed stock...
Persistent link: https://www.econbiz.de/10013153066
This paper aims to identify the effect of monetary policy shocks on stock prices through the lens of Mundell and Fleming's “Impossible Trinity” theory. Our identification strategy seeks to solve the simultaneity and omitted variable problems inherent in studies that focus on the effect of...
Persistent link: https://www.econbiz.de/10013092409
We study the implications of undiversified investors in a production-based asset pricing model with rare disasters. In our model, households experience idiosyncratic shocks to human capital and partially invest their wealth in a single firm with idiosyncratic shocks. The model features tractable...
Persistent link: https://www.econbiz.de/10014236608
A low-interest rate environment induces higher demand for income-generating assets, such as high-dividend stocks and high-coupon bonds. In this paper, we explore the impact of this “reaching-for-income” phenomenon on fund flows of corporate bond mutual funds. We find that high...
Persistent link: https://www.econbiz.de/10014237946