Showing 1 - 10 of 1,109
The paper explains why firms with high dispersion of analyst forecasts earn low future returns. These firms beat the CAPM in periods of increasing aggregate volatility and thereby provide a hedge against aggregate volatility risk. The aggregate volatility risk factor can explain the abnormal...
Persistent link: https://www.econbiz.de/10013039417
This study investigates the effect of corporate hedging on stock price crash risk. We test two competing hypotheses …. Under the transparency hypothesis, hedging reduces a firm's information asymmetry and lowers crash risk. Under the opacity … hypothesis, hedging decreases financial reporting quality and increases crash risk. Using a comprehensive sample of firms from …
Persistent link: https://www.econbiz.de/10012909871
incentives to reduce volatility via hedging. We further characterize institutions' investments for pure play stocks across …
Persistent link: https://www.econbiz.de/10011810908
By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …
Persistent link: https://www.econbiz.de/10012899849
Building on recent developments in behavioral asset pricing, we develop a model in which an increase in the dispersion of investor beliefs under short-selling constraints predicts a "bubble," or a rise in a stock's price above its fundamental value. Our model predicts that managers respond to...
Persistent link: https://www.econbiz.de/10001936312
This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX)....
Persistent link: https://www.econbiz.de/10014186411
This paper investigates the impact of announcements of material weaknesses on internal controls on share prices of Latin America companies listed with ADRs levels II and III. An event study methodology was applied based on the Filing Date of Annual Report 20-F submitted to Securities and...
Persistent link: https://www.econbiz.de/10014214163
Using a large sample of firms listed on the Korea Stock Exchange over the 1992-2002 period, this paper investigates a hitherto unexplored question of whether and how trading by foreign and domestic institutional investors improves the extent to which firm-specific information is incorporated...
Persistent link: https://www.econbiz.de/10014218755
The Financial Accounting Standards Board (FASB) and the International Accounting Standards Board (IASB) are currently working together towards a comprehensive standard of accounting for financial instruments with characteristics of equity, liability, or both. An important facet of this project...
Persistent link: https://www.econbiz.de/10014224184
The purpose of this study is to investigate whether there is any statistically significant relationship between capital structure and stock return for the selected firms of pharmaceutical and chemical sector which are listed in Dhaka Stock Exchange of Bangladesh. To examine the relationship this...
Persistent link: https://www.econbiz.de/10014103657