Similar Search Results

The Determinants of Stock and Bond Return Comovements

Baele, Lieven - 2011

We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We … dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

Persistent link: https://www.econbiz.de/10013132852

Overcoming Arbitrage Limits : Option Trading and Momentum Returns

Abhyankar, Abhay - 2020

In this paper we find that the decline in the momentum profitability is partly driven by option trading. Momentum profits arise from the short leg and therefore on barriers to short selling. We find strong evidence that the presence of stock options creates alternate avenues for short selling,...

Persistent link: https://www.econbiz.de/10012851949

"Buy the rumor, sell the news" : liquidity provision by bond funds following corporate news events

Huang, Alan Guoming; Wermers, Russ; Xue, Jinming - 2023

Using a comprehensive database of corporate news, we find that bond funds trade against the direction of news sentiment … such alphas is bond price reversals post news events. Our findings highlight that bond mutual funds represent a significant … liquidity provider in the corporate bond market and play a complementary role to dealers in corporate news events. …

Persistent link: https://www.econbiz.de/10014456062

Investment Strategies Based on Voting and Non-Voting Stocks

Wilke, Hannes - 2016

We measure the profitability of an investment in voting stocks, considering the prices of both voting and non-voting stocks. As Niehoff (2016) showed, non-voting stocks' prices reflect new information on average faster than the prices of the corresponding voting stocks. To exploit this...

Persistent link: https://www.econbiz.de/10012980470

Fixed Income Conference Calls

De Franco, Gus; Shohfi, Thomas; Xu, Da; Zhu, Zhiwei - 2022

these calls discuss debt-equity conflict events, such as share repurchases, to a greater degree relative to a matched sample …

Persistent link: https://www.econbiz.de/10013405837

Investor Attention to News on Financial Integration and Currency Returns

Filippou, Ilias; T. Nguyen, My; Taylor, Mark P. - 2023

In this paper, we examine the economic value of a text-based measure of financial integration. Our attention measure of financial integration is a strong positive predictor of currency excess returns. Specifically, the financial integration measure is positively priced in the cross-section of...

Persistent link: https://www.econbiz.de/10014254455

(Presentation Slides) Investor Overconﬁdence, Covariance Risk, and Predictors of Securities Returns

Daniel, Kent D. - 2018

Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...

Persistent link: https://www.econbiz.de/10012918741

Fundamental Anomalies

Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021

This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...

Persistent link: https://www.econbiz.de/10013245422

Explanatory power of pre-issue financial strength for long-term market performance : evidence from initial equity offerings on an emerging market

Czapiewski, Leszek; Lizińska, Joanna - In: International Journal of Financial Studies : open … 7 (2019) 1/16, pp. 1-16

This study tests possible sources of long-term risk-adjusted returns on initial public offerings (IPO) in Poland under the calendar-time portfolio (CTP) approach. The moment of going public still remains a puzzle in many areas. Poland’s status as an emerging market has been indisputable for...

Persistent link: https://www.econbiz.de/10012038537

Short Sales Constraints and the Diversification Puzzle

Reed, Adam V. - 2019

Disagreement about stock valuation, combined with short-sales constraints, can increase asset prices. We build a model showing that, so long as investor beliefs are not perfectly correlated, investors will disagree less about the value of a conglomerate than about each of its individual...

Persistent link: https://www.econbiz.de/10012904133