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We use short interest as an investor-based measure of over/undervaluation that distinguishes between the misvaluation and Q-theories of mergers. Using this measure, we find that misvaluation is a strong determinant of merger decision making. Firms in the top quintile of short interest are 54%...
Persistent link: https://www.econbiz.de/10013094979
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....
Persistent link: https://www.econbiz.de/10013226778
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...
Persistent link: https://www.econbiz.de/10013135708
The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...
Persistent link: https://www.econbiz.de/10009238769
At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number … the theory of stock market-driven acquisitions …
Persistent link: https://www.econbiz.de/10012968527
We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the population of firms and from each other in how they cluster across industries. Using well-specified tests under...
Persistent link: https://www.econbiz.de/10013134103
Political risk, one of the most significant uncertainty shocks, affects firms' future attitudes toward risks and plays a crucial role in their decision making. A stock price crash risk is a classical topic in financial markets; therefore, this paper probes the relationship between firm-level...
Persistent link: https://www.econbiz.de/10014636314
We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that default risk declines following the introduction of the Directive on Markets in Financial Instruments (MiFID)—an exogenous shock that increases liquidity. The effect of...
Persistent link: https://www.econbiz.de/10012854783
We study how investor sentiment affects stock prices around the world. Relying on households' Google search behavior, we construct a weekly measure of sentiment for 38 countries during the 2004–2014 period. We validate the sentiment index in tests using sports outcomes and show that the...
Persistent link: https://www.econbiz.de/10012936540
We introduce a novel framework to predict the relative accuracy of sell-side analysts' annual earnings forecasts out-of-sample. Prior studies only evaluate forecasts shortly before the corresponding earnings release. In contrast, our study is the first to provide long-term predictions which are...
Persistent link: https://www.econbiz.de/10012956259