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Filippou, Ilias - 2016

We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i.e. repurchases and issues). Following the market timing framework, we develop a two-factor asset pricing model comprising a “market” and a “mispricing” factor, which is able...

Persistent link: https://www.econbiz.de/10013005248

Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …

Persistent link: https://www.econbiz.de/10013026463

What Matters Most? How Tone in Initial Public Offering Filings and Pre-IPO News Influences Stock Market Returns

Feuerriegel, Stefan - 2014

Before shares of a company are sold to the general public on a security exchange for the first time, regulatory publication requirements force U.S. firms to file an initial public offering prospectus. While accounting information in IPO filings are closely studied by investors and analysts,...

Persistent link: https://www.econbiz.de/10013046950

Stock market returns and liquidity during the COVID-19 outbreak : evidence from the financial services sector in Vietnam

Cuong Thanh Nguyen; Phan Thanh Hai; Huyen Khanh Nguyen - In: Asian journal of economics and banking : AJEB 5 (2021) 3, pp. 324-342

measures on the stock returns and liquidity of Vietnam-listed companies in the financial services sector. Design … significant negative effects on the stock market returns and liquidity. Nevertheless, the Government’s imposition of lockdown … the stock returns and liquidity of Vietnam-listed companies in the financial services industry. …

Persistent link: https://www.econbiz.de/10012695222

Information Asymmetry, Liquidity, and Stock Returns

Chang, Sanders - 2015

We develop a new measure for the probability of informed trading, called PCP. Using double-sorted portfolios, we find that excess returns increase from low to high PCP portfolios. In regression analysis, the effect of PCP on returns is significantly positive after controlling for illiquidity...

Persistent link: https://www.econbiz.de/10013010774

Dynamics of Bankrupt Stocks

Sowers, Richard - 2012

We model and study the behavior of bankrupt stocks. We are interested in the dynamics of stocks and options, and in particular the cost of establishing positions with negative delta.This extends a model of Avellaneda and Lipkin which was used to model hard-to-borrow stocks. This model is a...

Persistent link: https://www.econbiz.de/10013107454

Forecasting Corporate Defaults in the German Stock Market

Mertens, Richard - 2016

We estimate and test several default risk models using new and unique data on corporate defaults in the German stock market. While defaults were extremely rare events in the 1990s, they have been a characteristic feature of the German stock market since the early 2000s. We apply the structural...

Persistent link: https://www.econbiz.de/10012983935

Oil and Stock Market Returns : Direction, Volatility, or Liquidity?

Kinateder, Harald - 2017

-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns … liquidity predicts declining stock prices …

Persistent link: https://www.econbiz.de/10012941582

Illiquidity Shocks and Asymmetric Stock Market Reactions Around the World : Is Underreaction or Illiquidity Spiral the Culprit?

Chen, Te-Feng - 2018

Illiquidity shocks are negatively associated with future returns. There are two potential explanations: underreaction and illiquidity spiral. We find that negative illiquidity shocks generate upward price continuation, but positive illiquidity shocks lead to initial downward price continuation...

Persistent link: https://www.econbiz.de/10012932447

Fund Flows, Liquidity, and Asset Prices

Kim, Minsoo - 2020

flows, which directly affect fund size and managers' income; and (ii) time-varying liquidity costs of assets. I find the … aggregate shocks to fund flows enter the pricing kernel in equilibrium and price 100 liquidity, fund flow beta, size, book …-to-market, profitability, and investment portfolio returns net of liquidity costs. The risk prices for the aggregate flow shocks are similar …

Persistent link: https://www.econbiz.de/10012849960