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Commonalities in Investment Strategy and the Determinants of Performance in Mutual Fund Mergers
Namvar, Ethan - 2014
This paper examines the determinants of cross-sectional variation in post-merger mutual fund performance. Mergers between funds with similar management objectives, as reflected by average portfolio book-to-market ratio, price-earnings ratio, beta and market capitalization values, outperform...
Persistent link: https://www.econbiz.de/10013065334
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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
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Information Disclosure, Intertemporal Risk Sharing, and Asset Prices
Dang, Tri Vi - 2010
Disclosure of information triggers immediate price movements, but it mitigates price movements at a later date, when the information would otherwise have become public. Consequently, disclosure shifts risk from later cohorts of investors to earlier cohorts. Hence, disclosure policy can be...
Persistent link: https://www.econbiz.de/10013138541
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Style Investing in Fixed Income
Brooks, Jordan - 2018
Style investing has become part of the investing nomenclature for equity markets. To date, despite the massive size of fixed income markets, little research has examined the efficacy of style-based investing in fixed income. In this paper we summarize a common style based framework for capturing...
Persistent link: https://www.econbiz.de/10012926513
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The Expected Rate of Credit Losses on Banks' Loan Portfolios
Harris, Trevor S. - 2017
This study develops a timely and unbiased measure of expected credit losses. The expected rate of credit losses (ExpectedRCL) is a linear combination of various non-discretionary credit risk-related measures disclosed by banks. ExpectedRCL performs substantially better than net charge-offs,...
Persistent link: https://www.econbiz.de/10012974710
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Complexity Aversion When Seeking Alpha
Umar, Tarik - 2020
Does textual complexity affect attention and market outcomes? I conduct a global field experiment with Seeking Alpha that randomly assigns to investors different titles for the same news article. Investors are less likely to open the articles when titles are more complex---scored quantitatively...
Persistent link: https://www.econbiz.de/10012854002
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The Expected Rate of Credit Losses on Banks' Loan Portfolios
Harris, Trevor S. - 2018
Estimating expected credit losses on banks' portfolios is difficult. The issue has become of increasing interest to academics and regulators with the FASB and IASB issuing new regulations for loan impairment. We develop a measure of the one-year-ahead expected rate of credit losses (ExpectedRCL)...
Persistent link: https://www.econbiz.de/10012931572
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Economic Consequences of Idiosyncratic Information in Diversified Markets
Gao, Pingyang - 2012
While most accounting information is idiosyncratic in nature, economy-wide factors such as accounting standards affect the quality of idiosyncratic accounting information of many firms simultaneously. We study idiosyncratic and systematic features of accounting information by embedding a...
Persistent link: https://www.econbiz.de/10013110426
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Non-GAAP earnings and definite-lived intangible asset allocations in mergers and acquisitions
Ashby, Jason; Chyz, James; Myers, Linda A.; Whipple, … - 2023
We test whether firms that exclude the effects of amortization from their non-GAAP earnings allocate more of an acquisition’s purchase price to definite-lived intangible assets (DLIA). This strategy can yield two potential benefits: it can (1) increase non-GAAP earnings by shifting...
Persistent link: https://www.econbiz.de/10014362328
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Takeover Prediction Models and Portfolio Strategies : A Multinomial Approach
Powell, Ronan - 2016
This paper uses a multinomial framework to develop several takeover prediction models. The motivation for this approach …, in which takeover targets are treated as belonging to one homogenous group, differences between hostile and friendly … targets are ignored. This may result in biased takeover probabilities and poor predictive performance. Using UK data, the …
Persistent link: https://www.econbiz.de/10013004375