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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

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

Competition among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2020

I study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. The analysis exploits a unique dataset, which allows comparing environments with and without high-frequency competition, and contains an exogenous event - a tick size reform...

Persistent link: https://www.econbiz.de/10012857042

Speed, Fragmentation, and Asset Prices

Pagnotta, Emiliano - 2020

We study the consequences of trading fragmentation and speed on liquidity and asset prices. Trading venues invest in speed-enhancing technologies and price trading services to attract investors. Investors trade due to preference shocks. We show how the resulting market organization affects asset...

Persistent link: https://www.econbiz.de/10012857144

Competition Among High-Frequency Traders, and Market Quality

Breckenfelder, Johannes - 2019

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...

Persistent link: https://www.econbiz.de/10012868588

Monetary shocks and stock returns : identification through the impossible trinity

Ozdagli, Ali; Yu, Yifan - 2012

This paper attempts to identify how monetary policy shocks affect stock prices by using Mundell and Fleming's theory of … the "Impossible Trinity". According to this theory, it is impossible to simultaneously have a fixed exchange rate, free … this theory because the HK dollar has been pegged to the U.S. dollar since 1983 and Hong Kong does not impose any capital …

Persistent link: https://www.econbiz.de/10009681235

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

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