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Stock Extreme Illiquidity and the Cost of Capital

Belkhir, Mohamed - 2018

We examine the relationship between stock extreme illiquidity and the implied cost of capital for firms from 45 countries. We document robust evidence that firms whose stocks have a greater potential for extreme illiquidity realizations suffer from higher cost of capital. A one standard...

Persistent link: https://www.econbiz.de/10012922232

Comovement, Passive Investing and Price Informativeness

DeLisle, Jared - 2015

From 1992 to 2011, average R2 increased from 0.17 to 0.47. During this period, passive financial institutions also grew their ownership from 30 to 50% of the market. Passive investors do not perform fundamental research nor trade around firm-specific news, thus reducing the firm-specific...

Persistent link: https://www.econbiz.de/10013036350

Equity Prices, Market Power, and Optimal Corporate Tax Policy

González, Ignacio; Montecino, Juan A.; Stiglitz, Joseph E. - National Bureau of Economic Research - 2025

productive investment and accordingly can rationalize a high corporate tax rate. The optimal corporate tax code in our setting … accumulation with a partial expensing of firm investment costs …

Persistent link: https://www.econbiz.de/10015361419

Corporate Taxes, Partisan Politics, and Stock Returns

Mella, Javier - 2022

I investigate the effect of different measures of corporate taxes on stock returns. The results support the partisan politics cycle effect on equity returns. A high minus low (Hi-Lo) portfolio sorted by (Total Corporate Taxes/Total Assets) has an annual return of +3.8% during Republican...

Persistent link: https://www.econbiz.de/10013309793

Investment as the Opportunity Cost of Dividend Signaling

Kaplan, Zachary - 2020

We provide evidence that firms with weak investment opportunities (those whose current earnings justify a greater … valuation than firms with strong investment opportunities) signal their permanent earnings level through their dividends. In the … investment opportunities. Intertemporally, when aggregate investment opportunities are worse, firms convey more earnings …

Persistent link: https://www.econbiz.de/10012849148

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

information absorption capacity by the investors on the IPOs impacts the investor's investment decisions and serves as a pre …-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long … investment strategies can only be selected by the investors with the highest information absorption capacity through the decision …

Persistent link: https://www.econbiz.de/10013026463

Short Sale Constraints and the Likelihood of Crashes and Bubbles

Klein, Arne Christian - 2012

In this paper, we investigate short sale constraints' impact on the incidence of extreme stock market movements. The latter can be used to proxy for the likelihood of tail events like crashes and bubbles in a market and, thus, is a crucial measure of stock market stability. Since crashes and...

Persistent link: https://www.econbiz.de/10013113770

Monetary Shocks and Stock Returns : Identification Through the Impossible Trinity

Ozdagli, Ali - 2013

.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which …

Persistent link: https://www.econbiz.de/10013075805

The Equity Market and Its Price Discovery Risk : An Empirical Study for the CAC40 Stock Market Index

Gillet, Roland L. - 2018

This paper studies the price discovery dynamics in an order-driven market. Based on the transaction data on individual stocks, the paper focuses on the study of the monthly evolution of normalized volatility ratios on Euronext Paris for the CAC40 stocks before and after the implementation of the...

Persistent link: https://www.econbiz.de/10012923999

Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations

Teeranutranont, Chanon - 2018

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

Persistent link: https://www.econbiz.de/10012926760