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Market Reaction to an Earnings Shock : A Test of the Conservatism Effect
Alwathainani, Abdulaziz M. - 2014
shock to quarterly earnings, firms ranking in the top (bottom) earnings shock quintile exhibit substantial price momentum … over the next three-month periods following the initial earnings shock. In the subsequent quarter, firms reporting earnings …
Persistent link: https://www.econbiz.de/10013068900
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Dynamic Response of Equity Market Returns to Corporate Profit Growth Shock
Sum, Vichet - 2013
This study investigates how returns on the S&P 500 (SP) dynamically respond to the aggregate corporate profit growth … (CP) shock. The results from running the VAR model using quarterly data from 1951Q4 to 2012Q4 shows that returns on the SP … significantly and positively respond to the CP shock instantly in the first quarter and retreat back to the zero territory …
Persistent link: https://www.econbiz.de/10013078332
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Dynamic Response of Market Dividend Yield and Price-to-Earnings Ratio to Corporate Profit Growth Shock
Sum, Vichet - 2014
corporate profit growth (CP) shock. Using the VAR model to analyze quarterly data from 1951Q4 to 2012Q4, the results show that … both DY and PE significantly drop immediately following the shock to the CP. The Granger-causality Wald tests show that CP …
Persistent link: https://www.econbiz.de/10013063364
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Financial Constraints, R&D Investment, and Stock Returns
Li, Dongmei - 2013
Through the interaction between financial constraints and R&D, I study two asset pricing puzzles: mixed evidence on the financial constraints-return relation and the positive R&D-return relation. Unlike capital investment, R&D is more inflexible. A financially constrained R&D-intensive rm is...
Persistent link: https://www.econbiz.de/10013093488
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Financial Constraints, Stock Liquidity, and Stock Returns
Li, Xiafei - 2019
This paper examines stock liquidity in explaining the mixed relations between financial constraints and stock returns and the pricing of stock liquidity across financially constrained and unconstrained firms. We find a negative relation in liquid portfolios and a positive relation in illiquid...
Persistent link: https://www.econbiz.de/10012905015
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Hedge Fund Ownership, Funding Liquidity Constraints and Excess Return Co-Movement
Parwada, Jerry T. - 2016
This paper examines the funding liquidity faced by hedge funds and the resulting implication for stocks' excess return co-movement. We find that hedge fund ownership tends to induce a higher stocks' return co-movement with each other, compared to other institutional investors like mutual funds...
Persistent link: https://www.econbiz.de/10012983777
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International Diversification, SFAS 131, and Post-Earnings Announcement Drift
Kang, Tony - 2017
Using 1990 through 2013 data of U.S. firms with foreign operations, we show that (1) the serial correlation of analyst forecast errors increases to the degree that firms diversify internationally, (2) post-earnings-announcement drift (PEAD) based on analyst forecast errors increases to the...
Persistent link: https://www.econbiz.de/10012968824
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Earnings Forecasts : The Case for Combining Analysts' Estimates with a Cross-Sectional Model
Azevedo, Vitor - 2020
We propose a novel method to forecast corporate earnings, which combines the accuracy of analysts' forecasts with the unbiasedness of a cross-sectional model. We build on recent insights from the earnings forecasts literature to improve analysts' forecasts in two ways: reducing their...
Persistent link: https://www.econbiz.de/10012854157
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Contraction Options : Implications for the Profitability-Return Relation and Momentum Profits
Shim, Kyung Hwan - 2015
We develop a firm valuation model with repeated expansion and contraction options to show operating profitability is a proxy for time-varying systematic risk. Relative to riskier assets, the proportionate value of contraction options increase as profitability falls, lowering the firm beta....
Persistent link: https://www.econbiz.de/10013026825
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Value Relevance of Earnings, Book Value and Dividends in an Emerging Capital Market : Kuwait Evidence
Al-Hares, Osama Musa - 2018
This study examines the value relevance of book value, earnings and dividends for a sample of all non-financial firms listed on the Kuwait Stock Exchange (KSE) over the period 2003–2009. After controlling for the impact of the global financial crisis, empirical results provide evidence on the...
Persistent link: https://www.econbiz.de/10012930391