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Can Liquidity Shifts Explain the Lockup Expiration Effect in Stock Returns?
Krishnamurti, Chandrasekhar - 2014
liquidity can account for the observed stock price reaction around lockup expiration. Specifically, firms which show improvement … in liquidity subsequent to the unlock day experience positive abnormal returns in the post-expiration period, and vice … versa.Another interesting finding is that liquidity changes strongly predict long-term abnormal returns as well as …
Persistent link: https://www.econbiz.de/10013070407
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How much for a haircut? : illiquidity, secondary markets, and the value of private equity
Bollen, Nicolas P. B.; Sensoy, Berk A. - 2016
Limited partners (LPs) of private equity funds commit to invest with extreme levels of illiquidity and significant uncertainty regarding the timing of capital flows. Secondary markets have emerged which alleviate some of the associated cost. This paper develops a subjective valuation model...
Persistent link: https://www.econbiz.de/10011772208
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Equilibrium Liquidity Premia of Private Equity Funds
Buchner, Axel - 2015
This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset …-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which … funds and investors just break even, equilibrium liquidity premia are defined as the risk-adjusted excess returns that fund …
Persistent link: https://www.econbiz.de/10013030408
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Short selling and the subsequent performance of initial public offerings
Seistrajkova, Biljana - 2017
This paper examines short sales transaction volumes on the first trading day of 610 initial public offerings (IPOs) from 2011 to 2015. The tests provide evidence of informed trading immediately at the IPO. Results reveal that short selling volume on the first trading day of the IPO is...
Persistent link: https://www.econbiz.de/10011874714
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How to (Properly) Compute Credit Default Swap Returns
Kang, Le (Lexi); Kim, Hwagyun; Kim, Ju Hyun; Kim, … - 2023
This paper proposes empirical methods to measure Credit Default Swap (CDS) return and explores its factor structure. We find that approximated CDS returns deviate significantly from actual returns based on the upfront fee, computed with protection sellers' cash flows. Past CDS returns and the...
Persistent link: https://www.econbiz.de/10014351134
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Evaluating Private Equity Performance Using Stochastic Discount Factors
Gredil, Oleg - 2020
We examine the performance of 2,790 private equity (PE) funds incepted during 1979-2008 using Stochastic Discount Factors (SDFs) implied by the two leading consumption-based asset pricing models (CBAPMs) — external habit and long-run risks — as their assumptions appear consistent with...
Persistent link: https://www.econbiz.de/10012845721
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Corporate Bond Illiquidity and Bond Return Synchronicity
Zhang, Zehua - 2020
This paper provides an innovative theoretical model and empirical evidence for how the illiquidity of corporate bonds, as trading noise, dampens firm-specific information incorporated into bond prices. We find a negative relation between bond illiquidity and synchronicity, and this empirical...
Persistent link: https://www.econbiz.de/10012828305
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Expectations in the Cross Section : Stock Price Reactions to the Information and Bias in Analyst-Expected Returns
Loudis, Johnathan - 2019
This paper provides evidence that the market does not efficiently incorporate expected returns implied by analyst price targets into prices. I use a novel decomposition to extract information and bias components from these analyst-expected returns and develop an asset pricing framework that...
Persistent link: https://www.econbiz.de/10012891666
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Analyst Coverage Network and Stock Return Comovement in Emerging Markets
Marcet, Francisco - 2017
Abstract This paper shows that analyst coverage networks (ACN) play an important role in explaining stock return commonalities across Latin American stocks. First, pairs of stocks connected by analysts exhibit higher comovement and excess comovement. Second, firms easily traded by foreign...
Persistent link: https://www.econbiz.de/10012970269
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Institutional Trading Momentum and Mispricing
Bulsiewicz, James - 2017
I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...
Persistent link: https://www.econbiz.de/10012971888