Showing 1 - 10 of 2,408
We introduce a novel framework to predict the relative accuracy of sell-side analysts' annual earnings forecasts out-of-sample. Prior studies only evaluate forecasts shortly before the corresponding earnings release. In contrast, our study is the first to provide long-term predictions which are...
Persistent link: https://www.econbiz.de/10012956259
We investigate the validity and reliability of the bootstrap approach in fund performance evaluation by gauging the size. Monte Carlo simulations suggest that cross-sectional dependence may alter the size of this test and we propose a new panel bootstrap approach
Persistent link: https://www.econbiz.de/10012960435
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012832284
This study aims to improve the accuracy of estimated intrinsic value by the industry-specific valuation model. Different industries have unique characteristics. As such, they should be valued by different valuation models. This study offers a comprehensive overview of the characteristics of...
Persistent link: https://www.econbiz.de/10014351761
There is strong empirical evidence that the pricing kernel is Ushaped,which provides a way to explain the substantial … coskewnesspremium. Existing studies typically use a polynomial approximationof the pricing kernel. Problematically, these polynomials …
Persistent link: https://www.econbiz.de/10009418982
Persistent link: https://www.econbiz.de/10003789236
This paper examines the impact of agency conicts on corporate nancing decisions. Werst build a dynamic contingent claims model in which nancing policy results from a trade-obetween tax benets, contracting frictions, and agency conicts. In our setting, partially-entrenched managers set the rms'...
Persistent link: https://www.econbiz.de/10005868708
This paper shows that preferences alone cannot explain the patterns reported in the literature.
Persistent link: https://www.econbiz.de/10005843337
This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.
Persistent link: https://www.econbiz.de/10009138391
A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if the hypothesis holds, then market valuations must follow a random walk. This postulate has frequently been criticized on the basis of empirical evidence. Yet the assertion itself incurs what we...
Persistent link: https://www.econbiz.de/10010309044