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In Search of Money Illusion in CEE Stock Markets : The CAPM Approach

Orlovaitė, Ernesta - 2019

inflation co-movement, and lead to deviations from the CAPM-implied risk-return relation in ten Central Eastern European (CEE …

Persistent link: https://www.econbiz.de/10012906159

Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns

Ogden, Joseph P. - 2010

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

Persistent link: https://www.econbiz.de/10013147129

Expected stock returns worldwide : a log-linear present-value approach

Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charley C. Y. - 2018

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

Persistent link: https://www.econbiz.de/10011931329

The Short-Duration Premium in the Stock Market : Risk or Mispricing?

Beckmeyer, Heiner; Meyerhof, Paul - 2022

We examine the short-duration premium using pre-scheduled economic, monetary policy, and earnings announcements. We provide high-frequency evidence that duration premia associated with revisions of economic growth and interest rate expectations are consistent with asset pricing models but cannot...

Persistent link: https://www.econbiz.de/10013405417

Is Sentiment Risk Priced by Stock Market?

Beer, Francisca Marie - 2012

This study tests if the financial markets price the investor's sentiment risk. We construct portfolios based upon the stock returns' exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists...

Persistent link: https://www.econbiz.de/10013114751

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Corporate Fraud Risk and Stock Market Performance

Jaroszek, Lena - 2019

We investigate the impact of fraud risk - measured by the probability for earnings overstatements - on a firm's future stock market performance. Based on an out-of-sample estimation of individual firms' fraud risk, we find that stocks with higher fraud risk earn significantly lower stock market...

Persistent link: https://www.econbiz.de/10012904134

A Signaling or Commitment Device? The Role of Voluntary IPO Lockup in China's Stock Market

Han, Tao - 2019

The literature suggests that voluntary IPO lockups (thereafter lockups) have both roles as a commitment device to control moral hazard and a signaling device to minimize asymmetric information. Using a hand collected data on lockups in China from 2006 to 2012, this paper disentangles the two...

Persistent link: https://www.econbiz.de/10012895931

Information Processing on Equity Prices and Exchange Rate for Cross Listed Stocks

Scherrer, Cristina Mabel - 2020

This paper investigates the dynamics of information processing for equity prices and the exchange rate of cross-listed firms. Using high-frequency data and a novel structural setting, I disentangle the effects on firm value of the exchange rate from the other determinants of a firm's cash flow....

Persistent link: https://www.econbiz.de/10012851381

S&P 500 Inclusions and Stock Supply

Schnitzler, Jan - 2018

I provide new evidence of the S&P500 inclusion effect that highlights the importance of stock supply. If excess demand from S&P500-linked capital drives the inclusion effect, it should depend as well on the effective supply of a stock. Standard & Poor's index methodology gives two distinct...

Persistent link: https://www.econbiz.de/10012936384