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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

Anomalies

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

Expected stock returns worldwide : a log-linear present-value approach

Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charley C. Y. - 2018

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...

Persistent link: https://www.econbiz.de/10011931329

Investor ESG Tastes and Asset Pricing

Wang, Liying; Wu, J. (Julie) - 2022

This study uses security-level investor demand and dynamic pricing information in the primary bond market to examine investor tastes for ESG assets and their pricing effects. We find that green bonds are significantly more oversubscribed than their conventional counterparts offered by the same...

Persistent link: https://www.econbiz.de/10013405355

Tobin's Q and Stock Market Performance

Sum, Vichet - 2014

This study examines if the change in aggregate Tobin's q ratio (∆TBQ) can dynamically forecast return on the S&P 500 (SP). The VAR results from analyzing quarterly data from 1951Q4 to 2012Q4 show that the response of SP to ∆TBQ shock becomes significantly positive immediately. The...

Persistent link: https://www.econbiz.de/10013063497

Mispricing or Q-Theory : Testing the Accruals Anomaly Based on the Speed of Price Adjustment

Choy, Siu Kai - 2020

inconsistent with predictions of the q-theory of investment …

Persistent link: https://www.econbiz.de/10012847639

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