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Dividends versus Stock Repurchases and Long-Run Stock Returns under Heterogeneous Beliefs
Bayar, Onur - 2017
We analyze a firm's choice between dividend payments and stock repurchases under heterogeneous beliefs and the subsequent long-term stock return performance of firms adopting the two forms of payout. Firm insiders, owning a certain fraction of its equity, choose between paying out its cash...
Persistent link: https://www.econbiz.de/10012974192
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Oil and Equity Return Predictability : The Importance of Dissecting Oil Price Changes
Jiang, Haibo - 2018
Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....
Persistent link: https://www.econbiz.de/10012935742
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Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns
Truong, Cameron - 2015
We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …
Persistent link: https://www.econbiz.de/10013009762
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Risk-neutral Skewness, Informed Trading, and the Cross-section of Stock Returns
Chordia, Tarun - 2020
This paper uses the volatility surface data from options contracts to document a strong, robust, and positive cross … trading signals captured by option implied volatility and volume …
Persistent link: https://www.econbiz.de/10012851240
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The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns
Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11
This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and …), we estimate monthly idiosyncratic volatility and investigate the effect of the COVID-19 pandemic at the portfolio and … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we …
Persistent link: https://www.econbiz.de/10013161497
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A Theory of Capital Structure, Price Impact, and Long-Run Stock Returns under Heterogeneous Beliefs
Bayar, Onur - 2016
We study an environment with short sale constraints and heterogeneous beliefs among outsiders and between insiders and outsiders. Firm insiders choose between equity, debt, and convertible debt to raise external financing. We analyze two settings: one where heterogeneous beliefs is the only...
Persistent link: https://www.econbiz.de/10013008933
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Oil price changes and stock returns : fresh evidence from oil exporting and oil importing countries
Atif, Mohd; Rabbani, Mustafa Raza; Bawazir, Hana; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14
The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...
Persistent link: https://www.econbiz.de/10013464376
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On Long-Run Stock Returns after Corporate Events
Kolari, James W. - 2017
Bessembinder and Zhang (2013) show that long-run abnormal returns after major corporate events detected by the BHAR method using size and book-to-market matched control stocks can be explained by differences between event and control stocks' unsystematic and systematic characteristics. We find...
Persistent link: https://www.econbiz.de/10012971628
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234
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Idiosyncratic Volatility, Return Reversals and Momentum : Australian Evidence
Grant, Andrew R. - 2010
This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high …
Persistent link: https://www.econbiz.de/10013138969