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This paper establishes a link between firms' capital investment decisions, the quality of the information they provide to a competitive market for their shares, and their cost of capital. We show that, if firms select projects to maximize share price, higher information quality reduces the cost of capital. The intuition is that better information improves the coordination between firms and inve...
This paper studies the e¤ects of capacity utilization on accounting pro t margins and stock returns. Since accounting pro t margins represent the average pro t per unit and not the economists concept of unit contribution margin, the marginal/variable pro t per unit, a rm with idle capacity can increase its pro t margins by increasing sales (output). However, if the rm is operating at full ca...
We apply a logistic smooth transition market model (LSTM) to a sample of returns on Australian industry portfolios to investigate whether bull and bear market betas differ. Unlike other studies, our LSTM model allows for smooth transition between bull and bear states and allows the data to determine the threshold value. The estimated value of the smoothness parameter was very large for all indu...
Article history: Received 7 May 2011 Received in revised form 3 November 2012 Accepted 16 January 2013 Available online 26 January 2013 We analyze how gender and age, internal characteristics of retail futures traders—one that remains fixed while the other changes over a lifetime—and the security being traded and bull– bear market conditions, two external factors, are related to the disposition...
This paper examines the impact of accounting information events (i.e., earnings announcements and analysts’ earnings forecasts) on the profitability of a pairs trading strategy proposed by Gatev et al. (2006). Using a portfolio of U.S. stock pairs between 1981 and 2006, we find that pairs trades are frequently triggered around accounting information events. More importantly, we find that pairs ...
This paper studies the cross-sectional risk-return trade-off in the stock market. A fundamental principle in finance is the positive relation between risk and expected return, whereas recent empirical evidence suggests the opposite. We apply referencedependent preferences to shed light on this violation. Reference-dependent preferences (e.g., prospect theory) typically posit that when facing pr...
Prior studies have documented that stock returns are abnormally high during the years following share repurchases and abnormally low following seasoned equity offerings, relative to various benchmarks of expected returns. While we confirm this evidence in the event data as of 2002, we do not find robust long-run abnormal returns following either stock repurchases or issuances after 2002. Instit...
The market for unseasoned equity has the unusual and distinguishing feature of periods of concentrated activity in terms of both volume and underpricing. This paper formally documents the existence of such periods using a regime-switching model that dates transitions between hot and cold states. A number of hot periods are identified over a 20-year period using a variety of IPO activity measure...
Actual federal funds rates in the U.S. have, at times, deviated from the recommendations of a simple Taylor rule. This paper proposes a “nowcasting” Taylor rule that preserves the form of the Taylor rule but encompasses realistic assumptions on information observable to policymakers. Because contemporaneous inflation rates and output gaps are not observable at the time policy is set, policymake...
We show how standard learning rules can be interpreted as small departures from rationality in the context of an asset pricing model. We propose a distinction between internal rationality, as agents that maximize discounted expected utility under uncertainty given consistent beliefs about the future, and external rationalityas agents that know perfectly the true stochastic process for funda...
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