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Relative Firm Profitability and Stock Return Sensitivity to Industry-Level News
Hao, Shengquan - 2011
This study provides theory and evidence to demonstrate how relative firm profitability within an industry affects stock …, and that (2) this inverse relation between relative profitability and return sensitivity is more pronounced when there is … the two fundamental factors that contribute to profitability – cost efficiency and market share – each exhibit an effect …
Persistent link: https://www.econbiz.de/10013128314
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Resurrecting the Size Effect : Firm Size, Profitability Shocks, and Expected Stock Returns
Hou, Kewei - 2018
paper shows that its disappearance can be attributed to negative shocks to the profitability of small firms and positive … shocks to big firms. After adjusting for the price impact of profitability shocks, we find a robust size effect in the cross …
Persistent link: https://www.econbiz.de/10012940673
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Profitability Anomaly and Aggregate Volatility Risk
Barinov, Alexander - 2020
Firms with lower profitability have lower expected returns because such firms perform better than expected when market … with this hypothesis, the profitability anomaly is stronger for distressed and volatile firms, and aggregate volatility …
Persistent link: https://www.econbiz.de/10012855868
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Explaining the Profitability Anomaly
Erhard, Ryan - 2020
We provide a new explanation for the profitability anomaly along with a battery of supportive empirical tests. Our … profitability and future stock returns, and the relation is stronger in firms with higher growth. The relation arises because less …
Persistent link: https://www.econbiz.de/10012848353
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Chapter 25 : Stock Market Anomalies
Fan, Steve Z. - 2017
Stock market anomalies representing the predictability of cross-sectional stock returns are one of most controversial topics in financial economic research. This chapter reviews several well-documented and pervasive anomalies in the literature, including investment-related anomalies, value...
Persistent link: https://www.econbiz.de/10012954410
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Chapter 20 : Traditional Asset Allocation Securities: Stocks, Bonds, Real Estate, and Cash
Milliken, Christopher - 2017
Asset allocation models have evolved in complexity with the development of modern portfolio theory, but they continue to operate under the assumption of investor rationality and other assumptions that do not hold in the real world. For this reason, academics and industry professionals make...
Persistent link: https://www.econbiz.de/10012954547
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Management Forecasting Ability and Predictive Ability of Dividend Changes for Future Earnings
Chang, Hsihui; Ishida, Souhei; Kochiyama, Takuma - 2021
We revisit the predictive ability of dividend changes for firms’ future earnings and extend the literature by examining the effect of management forecasting ability. Although prior studies have examined the relationship between dividend changes and future earnings, the empirical evidence is...
Persistent link: https://www.econbiz.de/10013322005
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Risk-Free Discount Rates and Stock Returns
Griskaite, Aurelija; Lueg, Rainer - 2023
This research examines the ability of Earnings less Risk-free Interest Charge (ERIC) to predict stock returns. We find that that earnings, cash flow, and total income are more strongly associated with stock returns than ERIC or residual income. In conclusion, our research suggests that mandatory...
Persistent link: https://www.econbiz.de/10014255447
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Intangibles, can they explain the dispersion in return rates?
Görzig, Bernd; Gornig, Martin - 2010
answered. -- Intangible capital ; rate of return ; firm-level profitability …
Persistent link: https://www.econbiz.de/10003974686
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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...
Persistent link: https://www.econbiz.de/10013026463