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Dividends versus Stock Repurchases and Long-Run Stock Returns under Heterogeneous Beliefs

Bayar, Onur - 2017

We analyze a firm's choice between dividend payments and stock repurchases under heterogeneous beliefs and the subsequent long-term stock return performance of firms adopting the two forms of payout. Firm insiders, owning a certain fraction of its equity, choose between paying out its cash...

Persistent link: https://www.econbiz.de/10012974192

Earnings Announcement Idiosyncratic Volatility and the Cross-Section of Stock Returns

Truong, Cameron - 2015

We document a significant positive relation between earnings announcement idiosyncratic volatility and stock returns in … with the highest earnings announcement idiosyncratic volatility and stocks with the lowest earnings announcement … idiosyncratic volatility exceeds 100 basis points in the 10 days leading up to the earnings announcements. The pricing of earnings …

Persistent link: https://www.econbiz.de/10013009762

Oil and Equity Return Predictability : The Importance of Dissecting Oil Price Changes

Jiang, Haibo - 2018

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

Persistent link: https://www.econbiz.de/10012935742

Risk-neutral Skewness, Informed Trading, and the Cross-section of Stock Returns

Chordia, Tarun - 2020

This paper uses the volatility surface data from options contracts to document a strong, robust, and positive cross … trading signals captured by option implied volatility and volume …

Persistent link: https://www.econbiz.de/10012851240

A Theory of Capital Structure, Price Impact, and Long-Run Stock Returns under Heterogeneous Beliefs

Bayar, Onur - 2016

We study an environment with short sale constraints and heterogeneous beliefs among outsiders and between insiders and outsiders. Firm insiders choose between equity, debt, and convertible debt to raise external financing. We analyze two settings: one where heterogeneous beliefs is the only...

Persistent link: https://www.econbiz.de/10013008933

The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns

Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and …), we estimate monthly idiosyncratic volatility and investigate the effect of the COVID-19 pandemic at the portfolio and … idiosyncratic volatility and subsequent stock returns switches from negative to positive during the pandemic period. Furthermore, we …

Persistent link: https://www.econbiz.de/10013161497

Oil price changes and stock returns : fresh evidence from oil exporting and oil importing countries

Atif, Mohd; Rabbani, Mustafa Raza; Bawazir, Hana; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14

The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...

Persistent link: https://www.econbiz.de/10013464376

On Long-Run Stock Returns after Corporate Events

Kolari, James W. - 2017

Bessembinder and Zhang (2013) show that long-run abnormal returns after major corporate events detected by the BHAR method using size and book-to-market matched control stocks can be explained by differences between event and control stocks' unsystematic and systematic characteristics. We find...

Persistent link: https://www.econbiz.de/10012971628

Further Evidence on Long-Run Abnormal Returns after Corporate Events

Kolari, James W. - 2020

This paper investigates abnormal standardized returns (ASRs) after major corporate events. Dutta, Knif, Kolari, and Pynnonen (2018) have shown that the ASR t-test has superior size and power compared to traditional test statistics. Based on this new test statistic compared to traditional test...

Persistent link: https://www.econbiz.de/10012851148

Do Personal Taxes Affect Investment Decisions and Stock Returns?

Kontoghiorghes, Alexander P. - 2021

I study the causal effects of personal investment taxes on stock demand, stock returns, and the dividend policy of companies. I exploit a change in legislation in 2013 which allowed stocks listed on the Alternative Investment Market, a sub-market of the London Stock Exchange, to be held in a...

Persistent link: https://www.econbiz.de/10013243333

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