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Liquidity Shocks and Pension Fund Performance : Evidence From the Early Release Scheme

Brugler, James; Kim, Minsoo; Zhong, Zhuo - 2021

explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in …

Persistent link: https://www.econbiz.de/10013251091

Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

Persistent link: https://www.econbiz.de/10011455379

Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange

Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220

The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity … developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is … of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency …

Persistent link: https://www.econbiz.de/10012303197

When and how is voluntary disclosure quality reflected in equity prices?

Eugster, Florian; Wagner, Alexander F. - 2011

This paper investigates the extent to which voluntary disclosure quality (VDQ) of firms is reflected in equity prices. As a novel contribution, we explore the idea that the speed with which equity prices reflect any benefits or costs of VDQ varies across firms. We find that in environments where...

Persistent link: https://www.econbiz.de/10009295768

Large Investors' Portfolio Composition and Firm Value

Ravid, S. Abraham - 2019

We analyze new Swedish data on the portfolio holdings of large blockholders and find that firm value increases with the weight of a stock in a large blockholder's portfolio. In our sample, this weight may be greater than 50%. We are the first to show that this value premium is correlated with...

Persistent link: https://www.econbiz.de/10012899728

Relevance of Accrual Anomaly Information in Stock Portfolio Formation - Case Study : Indonesia Stock Exchange

Pasaribu, Rowland Bismark - 2011

The accrual information is discussed in light of multifactor factor asset pricing theory. It is argued that the capital market processes information efficiently, and that low accruals firms are risky and therefore earn higher average returns. In other words, the level of accruals proxies for the...

Persistent link: https://www.econbiz.de/10013123885

Are analyst trade ideas valuable?

Birru, Justin; Gokkaya, Sinan; Liu, Xi; Stulz, René M. - 2019

Using a novel database, we show that the stock-price impact of analyst trade ideas is at least as large as the impact of stock recommendation, target price, and earnings forecast changes, and that investors following trade ideas can earn significant abnormal returns. Trade ideas triggered by...

Persistent link: https://www.econbiz.de/10012120228

Market Efficiency and Arbitrage Opportunities for Russian Depositary Receipts Cross- Listed on the London Stock Exchange

Kim, Oksana - 2018

This study examines the Russian stock market efficiency from two perspectives. First, we document that for the sample of Russian firms cross-listed on the Main Market of the London Stock Exchange (LSE) as Global Depositary Receipts (GDRs), the return series obtained from both the local market...

Persistent link: https://www.econbiz.de/10012931071

Central clearing and asset prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - 2013

We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...

Persistent link: https://www.econbiz.de/10010224773

Does Diversification of Share Classes Increase Firm Value?

Kim, Sojung - 2019

Firms can issue stocks classified in many ways. They can be classified in respect to voting rights, dividend rights, redemption rights, conversion rights, and many others. In this study, we ask if it is desirable to give greater freedom to firms in their choices of class shares. Making use of...

Persistent link: https://www.econbiz.de/10012893296

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