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The Boasting Effect : How Interpersonal Utility Affects Stock Prices
Hammerich, Ulrich - 2015
finance nor to traditional economical theories? Inspired by rational choice theory, this paper tries to explore this largely …
Persistent link: https://www.econbiz.de/10013021105
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End-of-the-year economic growth and time-varying expected returns : a reexamination
Hsiao(Xiao), Shisong - 2021
Møller and Rangvid (2015) report that economic growth at the end of the year is a strong predictor of future stock returns for the post-WWII period, whereas economic growth during the rest of the year does not. Revisiting these results with an extended period 1926-2020, we find that this...
Persistent link: https://www.econbiz.de/10013323390
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The Persistence and Pricing of Merger-Related Transitory Growth and Its Implications for Growth Anomalies and Asset Pricing Models
Collins, Daniel W. - 2015
Prior literature in accounting and financial economics measures asset growth as year-over-year growth in total assets. Such growth estimates are upward biased when firms engage in mergers and acquisitions. We decompose asset growth into merger-related and organic growth components, and find that...
Persistent link: https://www.econbiz.de/10013036298
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Do Industry Growth Prospects Drive IPO Stock Performance?
Dong, Ming - 2012
We examine the relation between an ex ante measure of IPO growth prospects – the industry-level long-term analyst earnings growth forecast – and short- and long-run IPO returns, using a sample of 7,570 IPOs from 1982 to 2007. The use of an industry-level, rather than firm-level growth...
Persistent link: https://www.econbiz.de/10013115063
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Stock Market Illiquidity's Predictive Role Over Economic Growth : The Australian Evidence
Rai, Alan - 2013
I examine the ability of equity market illiquidity to predict Australian macroeconomic variables, between 1976 and 2010. In contrast to existing, U.S.-based, studies, I find that stock market illiquidity does not, on average, have much predictive power over economic growth. Consistent with the...
Persistent link: https://www.econbiz.de/10013086653
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Global Economic Growth and Expected Returns Around the World : The End-of-the-Year Effect
Møller, Stig Vinther - 2015
Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic growth at other times of the year does not predict international returns. Low growth...
Persistent link: https://www.econbiz.de/10013027578
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Frontiers of Macrofinancial Linkages
Claessens, Stijn - 2018
The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and...
Persistent link: https://www.econbiz.de/10012929483
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Understanding asset correlations
Burkhardt, Dominic; Hasseltoft, Henrik - 2012 - This draft: September 2012
We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … important drivers of stock-bond correlations during the countercyclical period 1965-2000 while output shocks dominated during …
Persistent link: https://www.econbiz.de/10009684165
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What's Gone Wrong with Option Liquidity : Evidence from the Knight Capital's Trading Glitch
Kapadia, Nikunj - 2020
Since the early 2000s liquidity in option markets has become less resilient, and our evidence suggests that it is so because of an increased vulnerability to liquidity shocks in the underlying. To demonstrate the causal impact, we consider an incident in which a large broker dealer erroneously...
Persistent link: https://www.econbiz.de/10012844386
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Growth Opportunity Bias
Gong, Cynthia M - 2020
Growth opportunity bias (GOB), measured as the difference between market and fundamental values of a firm's growth opportunity, has an ability to predict future stock returns. In the portfolio sort, downward-biased GOB firms earn higher returns than upward-biased GOB firms, which is unexplained...
Persistent link: https://www.econbiz.de/10012849963