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Deferred compensation, risk, and company value : investor reactions to CEO incentives
Wei, Chenyang; Yermack, David L. - 2010
, when new disclosure rules took effect. We find that bond prices rise, equity prices fall, and the volatility of both …
Persistent link: https://www.econbiz.de/10008657301
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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them … to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …
Persistent link: https://www.econbiz.de/10003919401
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An option to cheat : an application of option theory to realize flipping in underpricing
Stojkovic, Jovan - 2013
The paper proposes a novel direction to rationalize and quantify investors' flipping behavior and its effect on underpricing in IPOs through the use of a structural approach mode. The outcome is a proxy value that replicates investors' flipping behavior. When tested empirically, the model...
Persistent link: https://www.econbiz.de/10010258983
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Informed options strategies before corporate events
Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022
We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but noisy, information about the timing and impact of these announcements on stock prices. We propose a framework that ranks options trading strategies (option type, maturity, and...
Persistent link: https://www.econbiz.de/10013332282
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Corporate transactions in hard-to-value stocks
Ben-David, Itzhak; Kim, Byungwook; Moussawi, Hala; … - 2021
Hard-to-value stocks provide opportunities for managers to exploit their informational advantage through trading on …, coinciding with a general decline in the profitability of stock market anomalies. Our evidence is consistent with managers …
Persistent link: https://www.econbiz.de/10012816430
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Does joining the S&P 500 index hurt firms?
Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2020
We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...
Persistent link: https://www.econbiz.de/10012263191
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Do announcement returns contain information about value creation?
Ben-David, Itzhak; Bhattacharya, Utpal; Jacobsen, Stacey - 2020
Stock returns around acquisition announcements are widely viewed as being reflective of the net present value created by these transactions. As such, announcement returns should correlate with acquisition outcomes. Using a new measure of realized transaction-level acquisition failure, as well as...
Persistent link: https://www.econbiz.de/10012263196
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The ups and downs of Wirecard AG : an application of the reversed news model
Stadtmann, Georg; Croonenbroeck, Carsten - 2019
In early 2019, the stock prices of the German company Wirecard AG experienced market turmoil after several critical reports on activities claimed to be illegal. To analyze the market impact of news, we use stock price data for Wirecard AG and apply the reversed news model. We elaborate on...
Persistent link: https://www.econbiz.de/10012108832
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Environmental damage news and stock returns : evidence from Latin America
Cavallo, Eduardo A.; Cepeda, Ana; Panizza, Ugo - 2024
This paper studies the interplay between environmental performance and financial valuation of firms in Latin America and the Caribbean. We provide insights into how environmental considerations are integrated into financial decision-making and investor behavior by analyzing the stock market...
Persistent link: https://www.econbiz.de/10014534744
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Environmental damage news and stock returns : evidence from Latin America
Cavallo, Eduardo A.; Cepeda, Ana; Panizza, Ugo - 2024
This paper studies the interplay between environmental performance and financial valuation of firms in Latin America and the Caribbean. We provide insights into how environmental considerations are integrated into financial decision-making and investor behavior by analyzing the stock market...
Persistent link: https://www.econbiz.de/10014529773