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Cross-Country Evidence on the Relation between Capital Gains Taxes, Risk, and Expected Returns
Hail, Luzi - 2016
This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm's systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …
Persistent link: https://www.econbiz.de/10013006684
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Cross-Country Evidence on the Relation between Capital Gains Taxes, Risk, and Expected Returns
Hail, Luzi - 2017
This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm's systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …
Persistent link: https://www.econbiz.de/10012947505
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Cross-Country Evidence on the Relation between Capital Gains Taxes, Risk, and Expected Returns
Hail, Luzi; Sikes, Stephanie A.; Wang, Clare - 2016
This study empirically examines the role of risk sharing between taxable investors and the government on the relation … weaker or even reverses when (i) a firm’s systematic risk is high, (ii) the market risk premium is high, or (iii) the risk … around substantive increases and decreases in the risk parameters. We corroborate our findings in a single country setting …
Persistent link: https://www.econbiz.de/10014147991
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Income Smoothing, Information Uncertainty, Stock Returns, and Cost of Equity
Chen, Linda H. - 2018
This paper examines the effect of income smoothing on information uncertainty, stock returns, and cost of equity. I show that income smoothing through both total accruals and discretionary accruals tends to reduce firms' information uncertainty, as measured by stock return volatility, analyst...
Persistent link: https://www.econbiz.de/10012938674
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Idiosyncratic Risk and Long-Run Stock Performance Following Seasoned Equity Offerings
Ho, Po-Hsin; Huang, Chia‐Wei; Lin, Chih-Yung; Yen, Ju-Fang - 2022
Post-issue stock underperformance is driven, at least in part, by the contemporary decline in idiosyncratic risk … they experience a larger reduction in idiosyncratic risk than their size, book-to-market, and exchange matching firms … suggests. Furthermore, post-issue abnormal change in idiosyncratic risk is positively associated with long-run stock abnormal …
Persistent link: https://www.econbiz.de/10013492177
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Why Do Firms Repurchase Their Stocks? Evidence from an Emerging Market
Pirgaip, Burak - 2017
Though it has recently become a contemporary financial management tool, stock repurchase can be so dangerous that it may raise concerns about insider trading and manipulative transactions. In fact, such concerns underlie the most important critique of stock repurchase and justify its...
Persistent link: https://www.econbiz.de/10012955357
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Determinants of LQ45 stock return in Indonesia
Mahirun, Mahirun - In: Scientific papers of the University of Pardubice 31 (2023) 2, pp. 1-11
This study aims to test and analyze the effect of capital structure, profitability, investment opportunity set, firm value, earnings per share, and dividend policy, on stock returns. Our research uses regression analysis to determine and analyze the influence of independent variables on...
Persistent link: https://www.econbiz.de/10014442351
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Can Implied Volatility Comovements Capture More Than Volatility Risk? Evidence from Insider Trades and Aggregate Equity Returns
Bushman, Robert M. - 2019
volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm …
Persistent link: https://www.econbiz.de/10012900702
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Determinant of Stock Systematic Risks
Pasaribu, Rowland Bismark - 2017
risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …
Persistent link: https://www.econbiz.de/10012942864
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Idiosyncratic Risk and Stock Returns : A Quantile Regression Approach
Aziz, Tariq - 2016
The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So … idiosyncratic risk and stock returns in the Indian stock market employing quantile regressions. Using quantile regressions, this … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at …
Persistent link: https://www.econbiz.de/10012996902