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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

The collateralizability premium

Ai, Hengjie; Li, Jun E.; Li, Kai; Schlag, Christian - 2019

A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints provides...

Persistent link: https://www.econbiz.de/10012113782

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

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

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

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

The Effect of Investment Constraints on Hedge Fund Investor Returns

Joenväärä, Juha - 2018

This paper examines the effect of investor-level real-world investment constraints, including several which had not been studied before, on hedge fund performance and its persistence. Using a large consolidated database, we demonstrate that hedge fund performance persistence is significantly...

Persistent link: https://www.econbiz.de/10012938196

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

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

Long-Term Earnings Forecasts, Managerial Distortion, and Stock Returns

Hameed, Allaudeen; Massa, Massimo; Ni, Zhenghui - 2023

We explain stock mispricing linked to long-term expectations of earnings growth in terms of managerial manipulation in high-growth conglomerates. Manipulation does not affect analysts’ forecasts of conglomerate earnings, which are more accurate relative to pseudo-conglomerates. The combined...

Persistent link: https://www.econbiz.de/10014254044