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Li, Erica X. N. - 2010

We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and … performance of issuing and cash-distributing firms, and the failure of the CAPM in explaining the long-term stock-price drifts …

Persistent link: https://www.econbiz.de/10013149934

Fundamental Anomalies

Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021

This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...

Persistent link: https://www.econbiz.de/10013245422

Aggregation, Capital Heterogeneity, and the Investment CAPM

Gonçalves, Andrei - 2019

CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio …

Persistent link: https://www.econbiz.de/10012868493

Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns?

Li, Dongmei - 2011

Q-theory predicts that investment frictions steepen the relation between expected returns and firm investment. Using … constrained firms. There is no evidence that q-theory with investment frictions explains the investment growth, net stock issues …, abnormal corporate investment, or net operating assets anomalies. Limits-to-arbitrage proxies dominate q-theory with investment …

Persistent link: https://www.econbiz.de/10013133882

The real side of the high-volume return premium

Israeli, Doron; Kaniel, Ron; Sridharan, Suhas A. - 2017

Prior literature demonstrates that an increased trading activity of a fi rm's stock is associated with abnormal future stock returns (the high-volume return premium) and interprets this phenomenon as evidence that increased visibility generates reductions in cost of capital. Motivated by this...

Persistent link: https://www.econbiz.de/10011800651

Time-to-Produce, Inventory, and Asset Prices

Chen, Zhanhui - 2015

Time-to-build, time-to-produce, and inventory have important implications for asset prices and quantity dynamics in a general equilibrium model with recursive preferences. Time-to-build captures the delay in transforming new investments into productive capital, and time-to-produce captures the...

Persistent link: https://www.econbiz.de/10013038422

Asset Prices and Efficiency in a Krebs Economy

Toda, Alexis Akira - 2015

I study the asset pricing implications and the efficiency of a tractable dynamic stochastic general equilibrium model with heterogeneous agents and incomplete markets along the lines of Krebs (2003a). Contrary to previous applications of these types of models, I find that generically the...

Persistent link: https://www.econbiz.de/10013033787

Labor and the Market Value of the Firm

Merz, Monika; Yashiv, Eran - 2021

What role does labor play in firms' market value? We explore this question using a production-based asset pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital and that the two interact, with the interaction being...

Persistent link: https://www.econbiz.de/10013319585

Dynamic Asset (Mis)Pricing : Build-up vs. Resolution Anomalies

van Binsbergen, Jules H.; Boons, Martijn; Opp, Christian C. - 2021

We classify asset pricing anomalies into those that exacerbate mispricing (build-up anomalies) and those that resolve it (resolution anomalies). To this end, we estimate the dynamics of price wedges for a large number of well-known anomaly portfolios in the factor zoo and map them to firm-level...

Persistent link: https://www.econbiz.de/10013241479

Financial Market Frictions and Learning from the Stock Price

Rösch, Dominik - 2019

Liquid stocks may attract short-term traders who could attenuate the informativeness of stock prices about long-run fundamentals. As a result, managers may be less (more) likely to rely on the market prices of more (less) liquid stocks when making real investment decisions. Supporting this...

Persistent link: https://www.econbiz.de/10012858656

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