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Can a Hybrid Method Improve Equity Valuation? An Empirical Evaluation of the Ohlson and Johannesson (2016) Model

Gao, Zhan - 2019

This paper investigates the validity and usefulness of “hybrid” valuation models. We recast the model in Ohlson and Johannesson (2016) as a hybrid of the Dividend Discount Model and an earnings-based price multiple model, and develop a new hybrid model that generalizes the Residual Income...

Persistent link: https://www.econbiz.de/10012901969

The Effect of the Credibility of Mandatory Disclosure by Credit Rating Agencies on Managerial Learning from Stock Prices

Kim, Jaewoo; Park, Seyoung; Wilson, Ryan J. - 2022

Using the Credit Rating Agency Reform Act of 2006, we examine the credibility of mandatory disclosure by credit rating agencies (CRAs) on managerial learning from stock prices. We find an increase in investment-price sensitivity for firms affected by the Act. Consistent with managers relying...

Persistent link: https://www.econbiz.de/10014239046

The More We Know About Fundamentals, the Less We Agree on Price : Evidence from Earnings Announcements

Gallo, Lindsey A. - 2017

about price? Recent theory suggests the presence of short-horizon investors can lead to a polarization of higher …

Persistent link: https://www.econbiz.de/10012961117

Differences in Prior Beliefs, Differential Interpretation and the Consensus Effect of Quarterly Earnings Signals and Trading Volume

Atiase, Rowland - 2015

Models of financial economists including Karpoff (1986), Varian (1989), Holthausen and Verrecchia (1990), and Dontoh and Ronen (1993) have demonstrated that there are three distinct fundamental determinants of trading volume reaction to new information releases: first, the extent of differences...

Persistent link: https://www.econbiz.de/10013010352

The Power of Firm Fundamental Information in Explaining Stock Returns

Shao, Shuai - 2020

Prior literature shows that earnings have come to explain less stock price movement over time, suggesting that firm fundamental information has become less important. In this paper, we replace earnings with earnings announcement returns as a measure of firm fundamental news and find that these...

Persistent link: https://www.econbiz.de/10012822624

The Asset Pricing and Real Implications of Relationship Disclosure

Jiang, Xu; Mondria, Jordi; Yang, Liyan - 2022

rely on firms' disclosure of such relationship. We develop a theory to study the asset pricing implications of this …

Persistent link: https://www.econbiz.de/10013290129

Predicting Firm-Specific Stock Price Crashes

Reichmann, Doron; Reichmann, Milan - 2022

In this study, we examine the predictability of firm-specific stock price crashes using modern machine learning techniques and develop a crash prediction model that utilizes both financial ratios and textual data from the Management Discussion and Analysis (MD&A) of 10-K files. We show that...

Persistent link: https://www.econbiz.de/10013295516

Information from Implied Volatility Comovements and Insider Trades

Bushman, Robert M.; Raval, Vivek; Wang, Sean - 2022

We investigate whether implied volatility comovements reflect the degree to which a firm’s private information is informative about future macroeconomic news. We compute IVC, the comovement of the implied volatilities between the firm and the aggregate market. IVC measures the extent to which...

Persistent link: https://www.econbiz.de/10013307954

Crashing in the Dark? The Effect of Dark Trading on Stock Price Crash Risk

Chakrabarty, Bidisha; Shaw, Kenneth W.; Wang, Xu (Frank) - 2022

Equity trading volume is increasingly moving to dark venues from lit exchanges. Theory provides opposing predictions … about the effect of dark trading on stock price crash risk. The price efficiency theory predicts a negative relation while … the liquidity externality theory predicts a positive relation. Our results support the latter: Dark trading significantly …

Persistent link: https://www.econbiz.de/10013403330

Volatility Skew, Earnings Announcements, and the Predictability of Crashes

Van Buskirk, Andrew - 2011

This paper examines the relation between firm-level implied volatility skew and the likelihood of extreme negative events, or crash risk. I show that volatility skew identifies which firms are likely to experience crashes, but only in short-window earnings announcement periods. The predictive...

Persistent link: https://www.econbiz.de/10013131489