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Download or read book A Theory of Firm Characteristics and Stock Returns The Role of Investment-Specific Shocks written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Leonid Kogan
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (13 download)
Download or read book Firm Characteristics and Stock Returns written by Leonid Kogan and published by . This book was released on 2018 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Average return differences among firms sorted on valuation ratios, past investment, prof-itability, market beta, or idiosyncratic volatility are largely driven by differences in exposures offirms to the same systematic factor related to embodied technology shocks. Using a calibratedstructural model, we show that these firm characteristics are correlated with the ratio of growthopportunities to firm value, which affects firms' exposures to capital-embodied productivityshocks and risk premia. We thus provide a unified explanation for several apparent anomalies inthe cross-section of stock returns--namely, predictability of returns by these firm characteristicsand return comovement among firms with similar characteristics.
Author : Chin-Wen Hsin
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Analysis of Firm Characteristics and Stock Return's Response to Exchange Rate Shocks written by Chin-Wen Hsin and published by . This book was released on 2004 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The sensitivity of a firm's stock return to exchange-rate shocks depends on the firm's exposure factors, hedging practices and how efficient those firm-level information being incorporated in price formation in relation to its exchange rate risk. This study tests for the U.S. non-financial firm stocks by focusing on the issue of lagged effects of exchange rate risk. We first explore the existence of the delay of stock return's response to exchange rate shocks. Then, we test the significance of firm factors in explaining firms' exchange rate risk as being decomposed into the contemporaneous and the delayed responses to exchange rate changes. A fixed-effects model is applied to analyze the relationship between firm characteristics and currency risk. The panel analysis considers the time-varying relationships among variables and takes advantage of expanded observations to yield greater testing power. Empirical evidence indicates that those firms of larger size, with lower international activities and exercising better business hedging experience lower exchange rate exposure. The factors associated with theories of optimal hedging only demonstrate partial impact on a firm's exposure. Interestingly, most factors exhibit lagged effects, and the lagged effects are comparatively stronger for small firms than for large firms. This indicates that certain firm information tends to be ignored or evaluated with a delay by investors, more so for smaller firms, in the valuation process of a stock's exchange rate risk.
Author : Hendrik Bessembinder
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (13 download)
Download or read book Firm Characteristics and Long-Run Stock Returns After Corporate Events written by Hendrik Bessembinder and published by . This book was released on 2014 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: The well-documented abnormal long-run buy-and-hold returns to firms issuing equity in initial public offerings and seasoned equity offerings, firms bidding in mergers, and firms initiating dividends can be attributed to imperfect control-firm matching. In addition to firm size and market-to-book ratio, event firms on average differ from control firms in terms of idiosyncratic volatility, liquidity, return momentum, and capital investment, each of which also explains returns. We propose a simple regression-based approach to control for differences in firm characteristics across event and control firms, and we show that long-run abnormal returns do not differ significantly from zero for event firms in the 1980 to 2005 period. The returns to event firms are, therefore, consistent with patterns known to exist for the broad stock market and do not require event-specific explanations.
Author : Robert Shevilevich Lipt︠s︡er
Publisher : Springer Science & Business Media
ISBN 13 : 9783540639282
Total Pages : 428 pages
Book Rating : 4.6/5 (392 download)
Download or read book Statistics of Random Processes II written by Robert Shevilevich Lipt︠s︡er and published by Springer Science & Business Media. This book was released on 2001 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
Author : Douglas K. Pearce
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (129 download)
Download or read book Firm characteristics, unanticipated inflation, and stock returns written by Douglas K. Pearce and published by . This book was released on 1987 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Seungho Jung
Publisher : International Monetary Fund
ISBN 13 : 1557759677
Total Pages : 36 pages
Book Rating : 4.5/5 (577 download)
Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Download or read book Firm Characteristics, Unanticipated Inflation, and Stock Returns written by and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rob Bauer
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Firm Characteristics, Industry, Horizon and Time Effects, in the Cross-Section of Expected Stock Returns written by Rob Bauer and published by . This book was released on 2009 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a panel data model to explain the cross-section of individual stock returns, using monthly data for 1,880 large US firms for 1985-2005. Model specification is geared towards multiple explanatory variables, poolability across industries, alternative forecast horizons, and the effects of unobserved heterogeneity among firms. We find that combining multiple firm characteristics increases the predictive power. High expected returns are mostly related to size, cashflow-to-price and turnover, and somewhat to earnings revisions and momentum. Diversified portfolios sorted on expected returns have moderate risk exposures and generate significant risk-adjusted returns over all horizons. Longer forecasting horizons drastically reduce portfolio turnover and hence lower costs.
Author : Charles Clarke
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book The Level, Slope, and Curve Factor Model for Stocks: Evidence, Theory, and Explanation written by Charles Clarke and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The reported number of firm characteristics that predict stock returns is growing at a rapid pace. This dissertation offers a reorganization of this exploding space. In the first chapter, I use regressions to aggregate the explanatory power of many anomalies into one proxy for expected returns. I find that sorting on this proxy creates large spreads in average returns and large alphas when compared to the leading factor models. The procedure allows me to evaluate the marginal economic significance of each anomaly. Asset growth, net stock issues and momentum are the strongest anomaly variables. Anomaly importance varies across size groups, but size provides relatively little explanatory power. I use principal components analysis to show that a strong multifactor structure underlies the spreads created from my one dimensional sort. In the second chapter, I develop a method to extract only the priced factors from stock returns. The first step estimates expected returns based on characteristics. The second uses the expected returns to form portfolios. The last step uses principal components to extract factors from the portfolio returns. The procedure isolates and emphasizes the comovement across assets that is related to expected returns as opposed to firm characteristics. It produces three factors--level, slope and curve--which perform as well or better than other leading models. Horse races show that other leading factors add little to the model. The factors have macroeconomic risk interpretations. The third chapter reevaluates the Consumption Capital Asset Pricing Model's ability to price the cross-section of stocks. With a few adjustments that generate more informative tests by increasing test power, I find that the simple linearized CCAPM often matches key features of the cross-section: the consumption risk premium is positive and significant, the zero beta rate is near zero and insignificant, and the CCAPM captures much of the variation across average portfolio returns. A key stylized fact emerges that many interesting ``anomalies'' share the characteristic that high expected return portfolios tend to have higher covariance with consumption.
Author : Mingshen Chen
Publisher :
ISBN 13 :
Total Pages : 254 pages
Book Rating : 4.3/5 (129 download)
Download or read book Stock Returns, Inflation, and the Firm Size Effect written by Mingshen Chen and published by . This book was released on 1992 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (464 download)
Download or read book Evidence on the Characteristics of Cross Sectional Variation in Stock Returns written by and published by . This book was released on 1996 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Firm size and book-to-market ratios are both highly correlated with the returns of common stocks. Fama and French (1993) have argued that the association between these firm characteristics and their stock returns arises because size and book-to-market ratios are proxies for non-diversifiable factor risk. In contrast, the evidence in this paper indicates that the return premia on small capitalization and high book-to-market stocks does not arise because of the co-movements of these stocks with pervasive factors. It is the firm characteristics and not the covariance structure of returns that explain the cross-sectional variation in stock returns.
Author : Robert J. Gordon
Publisher : University of Chicago Press
ISBN 13 : 0226304604
Total Pages : 744 pages
Book Rating : 4.2/5 (263 download)
Download or read book The Measurement of Durable Goods Prices written by Robert J. Gordon and published by University of Chicago Press. This book was released on 2007-12-01 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: American business has recently been under fire, charged with inflated pricing and an inability to compete in the international marketplace. However, the evidence presented in this volume shows that the business community has been unfairly maligned—official measures of inflation and the standard of living have failed to account for progress in the quality of business equipment and consumer goods. Businesses have actually achieved higher productivity at lower prices, and new goods are lighter, faster, more energy efficient, and more reliable than their predecessors. Robert J. Gordon has written the first full-scale work to treat the extent of quality changes over the entire range of durable goods, from autos to aircraft, computers to compressors, from televisions to tractors. He combines and extends existing methods of measurement, drawing data from industry sources, Consumer Reports, and the venerable Sears catalog. Beyond his important finding that the American economy is more sound than officially recognized, Gordon provides a wealth of anecdotes tracing the postwar history of technological progress. Bolstering his argument that improved quality must be accurately measured, Gordon notes, for example, that today's mid-range personal computers outperform the multimillion-dollar mainframes of the 1970s. This remarkable book will be essential reading for economists and those in the business community.
Author :
Publisher :
ISBN 13 :
Total Pages : 199 pages
Book Rating : 4.:/5 (98 download)
Download or read book The Link Between Managerial Risk-taking Indicators, Firm Characteristics and Stock Return Volatility written by and published by . This book was released on 2014 with total page 199 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Clifford S. Asness
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book Predicting Stock Returns Using Industry-Relative Firm Characteristics written by Clifford S. Asness and published by . This book was released on 2000 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Better proxies for the information about future returns contained in firm characteristics such as size, book-to-market equity, cash flow-to-price, percent change in employees, and various past return measures are obtained by breaking these explanatory variables into two industry-related components. The components represent (1) the difference between firms' own characteristics and the average characteristics of their industries (within-industry variables), and (2) the average characteristics of firms' industries (across-industry variables). Each variable is reliably priced within-industry and measuring the variables within-industry produces more precise estimates than measuring the variables in their more common form. Contrary to Moskowitz and Grinblatt [1999], we find that within-industry momentum (i.e., the firm's past return less the industry average return) has predictive power for the firm's stock return beyond that captured by across-industry momentum. We also document a significant short-term (one-month) industry momentum effect which remains strongly significant when we restrict the sample to only the most liquid firms.
Author : Jiri Knesl
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Capital Intensity and Investment Shocks written by Jiri Knesl and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: I show that a firm's capital intensity affects the asset pricing implications of investment-specific technology shocks measured by a popular measure, the IMC porfolio. Capital-intensive stocks sorted by the exposure to this measure generate a highly significant average return premium of up to 5% annually. A similar return premium is present in the sub-sample of capital-intensive firms but absent among labor-intensive firms, while the exposures to the IMC portfolio are similar in both sub-samples. This finding is a puzzle since similar exposures to this measure of investment shock generate a very different return premium for capital-intensive and labor-intensive firms. To explain this puzzle, I extend prior models of the investment-specific technology shocks by a novel dimension; firm's capital intensity. The model can rationalize these empirical findings.
Author : Turan G. Bali
Publisher : John Wiley & Sons
ISBN 13 : 1118589475
Total Pages : 512 pages
Book Rating : 4.1/5 (185 download)
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
