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Fundamentals, misvaluation, and investment : the real story

Chirinko, Robert S.; Schaller, Huntley - 2006

Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We … introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama … misvaluation into standard investment equations to estimate the quantitative effect of misvaluation on investment. Overall, the …

Persistent link: https://www.econbiz.de/10009736657

Flow-Through Capability in the US Stock Market

Cano, Carlos - 2015

In this paper, we estimate a measure of the flow-through capability of firms listed on the US stock exchange at the sector level. Flow-through capability is defined as a firm's ability to transmit inflation shocks to the prices of its products and services. Thus, we first estimate the...

Persistent link: https://www.econbiz.de/10013026344

CDS and equity market reactions to stock issuances in the U.S. financial industry : evidence from the 2002-13 period

Cornett, Marcia Millon; Mehran, Hamid; Pan, Kevin; … - 2014

We study market reactions to seasoned equity issuances that were announced by financial companies between 2002 and 2013. To assess the risk and valuation implications of these seasoned equity issuances, we conduct an event analysis using daily credit default swap (CDS) and stock market pricing...

Persistent link: https://www.econbiz.de/10010423809

Short and long-term effects of September 11 on stock returns : evidence from US defense firms

Essadam, Naceur; Douch, Mohamed - In: Journal of applied finance & banking 3 (2013) 3, pp. 239-253

Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense firms. Our findings suggest that the market differentiated among US defense firms based on the percentage of defense sales to total sales. In addition, the behaviour of the...

Persistent link: https://www.econbiz.de/10009743349

No Size Anomalies in U.S. Bank Stock Returns

Goyal, Amit - 2017

Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government...

Persistent link: https://www.econbiz.de/10012973405

CDS and Equity Market Reactions to Stock Issuances in the U.S. Financial Industry : Evidence from the 2002-13 Period

Cornett, Marcia Millon - 2014

Persistent link: https://www.econbiz.de/10013044326

High Frequency Trading in the Equity Markets During US Treasury POMO

Gao, Cheng - 2018

We analyze high frequency trading (HFT) activity in equities during U.S. Treasury permanent open market (POMO) purchases by the Federal Reserve. We construct a model to study HFT quote and trade behavior when private information is released and confirm it empirically. We estimate that HFT firms...

Persistent link: https://www.econbiz.de/10012938427

The Leverage Anomaly in U.S. Bank Stock Returns

Venmans, Frank - 2020

The relationship between leverage and returns on US bank stocks between 1973 and 2019 is slightly hump-shaped, almost flat. This observed relationship cannot be explained by standard risk factors such as correlation with the market return, book-to-market, size, momentum and term structure of...

Persistent link: https://www.econbiz.de/10012852158

Is There a Banking Risk Premium in the US Stock Market?

Zeng, Liujing - 2010

This paper investigates whether there is a banking risk premium that helps explain the returns of US publicly listed firms. We assess this phenomenon in the context of the capital asset pricing model and the Fama and French three-factor model. We use bank size to create the banking factor – a...

Persistent link: https://www.econbiz.de/10013140135

Do Stock Markets Discipline US Bank Holding Companies : Just Monitoring, or also Influencing?

Baele, Lieven - 2011

This paper offers evidence that bank managers adjust key strategic variables following a risk and/or valuation signal. Banks receive a risk signal when they have a substantially higher volatility compared to the best performing bank(s) with similar business model characteristics, and a valuation...

Persistent link: https://www.econbiz.de/10013133320

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