Search

This paper studies the impact of a change in promoter shareholding on small-cap-value stocks. NIFTY Small Cap 250 index stocks within the top 20th percentile of the book-to-market (B/M) ratio of the same universe have been considered for this study. The paper uses regression analysis for understanding the impact of independent variables on returns. The universe is further narrowed down to stocks with a positive change in promoter shareholding, which is found to be negatively related to stock returns. In addition, although the book-to-market ratio does not play any role in the prediction of returns while within this narrowed-down universe, the size effect is present. The results are discussed with reference to some relevant past research literature, and the scope for further research is also discussed. [ABSTRACT FROM AUTHOR]

This study aims to examine the impact of firm characteristics and ownership structure on the firm efficiency of listed non-financial firms in Pakistan from 2012 to 2017. Firm characteristics include market capitalization, cash holdings, book-to-market ratio and negative book-to-market ratio and ownership structure includes insider ownership, institutional ownership and concentration ownership while controlling for firm size, profitability, leverage and age. Data related to firm efficiency, cash holdings, book-to-market ratio and negative book-to-market ratio was collected from Financial Statement Analysis published by SBP whereas data related to market capitalization and ownership structure (insider ownership, institutional ownership and concentration ownership) was collected from business recorder and published annual reports respectively. At first stage the firm efficiency is reported by using DEA CRS approach and results show that the year 2014 was the best year because 24% firms were efficient and 2015 was the worst because only 18% firms were efficient. The results also show that textile, sugar, food, manufacturing, chemical & pharmaceuticals, cement, motor vehicle, information communication & transportation are the poor performing sectors of Pakistan. This inefficiency might be due to the inefficient use of resources as agency theory advocates. Then at second stage, the correlation and variance inflation factor did not show any multicollinearity. Tobit model is used to find the regression results. The regression results show that market capitalization, cash holdings and concentration ownership positively and significantly influence the firm efficiency. Negative book-to-market ratio, insider ownership and institutional ownership negatively and significantly influence the firm efficiency whereas the book-to-market ratio is insignificant with the firm efficiency. It might be due to the self-interest by the insider and institutional ownership. This study is also helpful for the investors. They can choose the efficient firm for investment and to avoid the inefficient firms to stay away from the losses.

Firms move between growth and value because of changes in either size or book value of equity. The value premium is specific to variation in book-to-market that emanates from size changes. A factor based on this variation earns the entire value premium; one based on the remaining variation earns no premium. Hence, not all high book-to-market firms earn the value premium, and some low book-to-market firms earn value-like returns. Many models price portfolios sorted by size and book-to-market. None distinguish firms that earn the value premium from those that have a high book-to-market but do not earn the premium. [ABSTRACT FROM AUTHOR]

I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross-sectional variation in size/book-to-market portfolios and more than 80% of the variation in the joint sample of stocks, bonds, and commodity futures. I also show that the performance of the disappointment model is comparable to that of the Fama-French three-factor specification, regardless of the sample frequency (annual, quarterly). Overall, my results indicate that disappointment aversion considerably improves the fit of consumption-based asset pricing models. [ABSTRACT FROM AUTHOR]

Using data envelopment analysis (DEA), we calculate sales efficiency for U.S. pharmaceutical firms and find it to be positively associated with those firms’ book-to-market ratios (a measure widely used in the finance literature to estimate the risk and growth potential of firms’ common stock). Thus, we conclude that sales-efficient firms in this industry are, on average, undervalued and suggest that the U.S. pharmaceutical industry is characterized by firms making off-balance sheet investments, which we argue leads to efficiency during our sample years (2009-2015). We also conduct longitudinal analyses and conclude that firms in our sample with smaller asset levels are more efficient. Finally, we conduct a slack analysis, which concludes that most of the overvalued companies exhibit inefficiencies in their utilization of research and development costs and selling, general, and administrative costs. Fewer of those firms exhibit inefficient utilization of their costs of goods sold. [ABSTRACT FROM AUTHOR]

This study aims to examine the impact of firm characteristics and ownership structure on the firm efficiency of listed non-financial firms in Pakistan from 2012 to 2017. Firm characteristics include market capitalization, cash holdings, book-to-market ratio and negative book-to-market ratio and ownership structure includes insider ownership, institutional ownership and concentration ownership while controlling for firm size, profitability, leverage and age. Data related to firm efficiency, cash holdings, book-to-market ratio and negative book-to-market ratio was collected from Financial Statement Analysis published by SBP whereas data related to market capitalization and ownership structure (insider ownership, institutional ownership and concentration ownership) was collected from business recorder and published annual reports respectively. At first stage the firm efficiency is reported by using DEA CRS approach and results show that the year 2014 was the best year because 24% firms were efficient and 2015 was the worst because only 18% firms were efficient. The results also show that textile, sugar, food, manufacturing, chemical & pharmaceuticals, cement, motor vehicle, information communication & transportation are the poor performing sectors of Pakistan. This inefficiency might be due to the inefficient use of resources as agency theory advocates. Then at second stage, the correlation and variance inflation factor did not show any multicollinearity. Tobit model is used to find the regression results. The regression results show that market capitalization, cash holdings and concentration ownership positively and significantly influence the firm efficiency. Negative book-to-market ratio, insider ownership and institutional ownership negatively and significantly influence the firm efficiency whereas the book-to-market ratio is insignificant with the firm efficiency. It might be due to the self-interest by the insider and institutional ownership. This study is also helpful for the investors. They can choose the efficient firm for investment and to avoid the inefficient firms to stay away from the losses. [ABSTRACT FROM AUTHOR]

We propose a novel human capital model that decomposes aggregate income risk into high- and low-income risk. We find that high-income risk is priced, while low-income risk is insignificant. The high-income factor alone explains 77% of the cross-sectional variation in the twenty-five size and book-to-market portfolios, earns a risk premium of about 7% per year, and its pricing power extends to the full cross-section of individual stocks. It is also related to the value factor, suggesting that the value premium might be compensation for income risk. Overall, our evidence indicates that high-income risk is an important macroeconomic risk factor. [ABSTRACT FROM AUTHOR]

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premia. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant annualized 8% premium relative to portfolios that are minimally correlated with VRP. [ABSTRACT FROM PUBLISHER]

We hypothesize that individual investors treat trading as a fun and exciting gambling activity, implying substitution between this activity and alternative gambling opportunities. To examine this hypothesis, we study the lottery jackpots and the trading of individual investors in Taiwan. When the jackpots exceed 500 million Taiwan dollars, the trading volume decreases between 5.2% and 9.1% among stocks preferred by individual investors and between 6.8% and 8.6% among lottery-like stocks. The decline in individual buy volume is statistically indistinct from the decline in sell volume. Large jackpots are associated with less trading in options with high sensitivity to volatility. [ABSTRACT FROM AUTHOR]

In this paper, we formally show that the cross-sectional variance of stock returns is a consistent and asymptotically efficient estimator for aggregate idiosyncratic volatility. This measure has two key advantages: It is model free and observable at any frequency. Previous approaches have used monthly model-based measures constructed from time series of daily returns. The newly proposed cross-sectional volatility measure is a strong predictor for future returns on the aggregate stock market at the daily frequency. Using the cross section of size and book-to-market portfolios, we show that the portfolios’ exposures to the aggregate idiosyncratic volatility risk predict the cross section of expected returns. [ABSTRACT FROM PUBLISHER]

This study on the Ghana Stock Exchange (GSE), investigated, if the overall size of the market, affects the fundamentals of the Fama French 3-Factor model, and to ascertain if the Fama French model can be used effectively to assess portfolio and assets return for companies listed on the Ghana Stock Exchange. In this paper, portfolios of assets of companies on the Ghana Stock Exchange are constructed and analyzed using the Fama-French 3-factor model. The empirical data which consists of assets of 15 companies listed on the GSE, including assets of both financial and non-financial companies for good representation of the Ghana Stock Exchange. We found that the basic principle of the model is not satisfied. This is attributed to a number of factors which include overall size of the market, volume of trade, and high leverage (more debt than equity) associated with financial firms. High debt/equity ratio is linked to high risk. [ABSTRACT FROM AUTHOR]

We extend the Fama-French (1992) model by considering growth option (as well as distress/leverage) variables in explaining the cross section of stock returns. We find that growth option variables, namely growth in capital investment and yet-unexercised growth options (GO), are significantly and negatively related to stock returns. Investors may be willing to accept lower average returns from growth stocks in exchange for a more favorable (positively skewed) risk-return profile. Book-to-market (BM) ratio seems to proxy for omitted distress/leverage variables. When these are explicitly accounted for, BM is not that significant. Our growth options variables have added explanatory power. [ABSTRACT FROM PUBLISHER]

With a declining base interest rate in the Brazilian economy and less volatility than stocks, real estate funds became more attractive to investors. Moreover, under the lens of this appreciation, it is possible to analyze them similarly to stocks, which allows us to see them under the prism of value versus growth, in which value assets are the ones with a low market-to-book ratio, whereas growth stocks feature a high ratio. The results found show us a superior performance by the value portfolio, however this portfolio also boasts a higher risk, which can be verified by looking at its volatility and beta. As the higher return commands a higher risk, the real estate funds market is in accord with the CAPM hypothesis. Therefore, we can conclude that there is no value premium in the Brazilian real estate funds market. [ABSTRACT FROM AUTHOR]

Purpose - This study aims to analyze the influence of future expectations of the book-to-market ratio (B/M) and return on equity (ROE) in explaining the Brazilian capital market returns. Design/methodology/approach - The study analyzed the explanatory power of risk-factor approach variables such as beta, size, B/M ratio, momentum and liquidity. Findings - The results show that future expectations of the B/M ratio and ROE, when combined with proxies for risk factors, were able to explain part of the variations of Brazilian stock returns. With respect to risk factors approach variables, the authors verified the existence of size and B/M effects and a liquidity premium in the Brazilian capital market, during the period analyzed. Research limitations/implications - This research was limited to the non-financial companies with shares traded at Brasil, Bolsa and Balcão, from January 1, 1995 to June 30, 2015. This way, the conclusions reached are limited to the sample used herein. Practical implications - The evidences herein presented can also contribute to establishing investment strategies, considering that the B/M ratio may be calculated through accounting information announced by companies. Besides, using historical data enable investors, in a specific year, to calculate the predictor variables for the B/M ratio and ROE in the next year, which enhance the explanatory power of the current B/M, when combined in the form of an aggregate predictor variable for stock returns. Originality/value - The main contribution of this study to the literature is to demonstrate how the expected future B/M ratio and ROE may improve the explanatory capacity of the stock return, when compared with the variables traditionally studied in the literature.

Abstract To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model’s explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal.

Model selection (i.e., the choice of an asset pricing model to the exclusion of competing models) is an inherently misguided strategy when the true model is unavailable to the researcher. This paper illustrates the advantages of a model pooling approach in characterizing the cross section of stock returns. The optimal pool combines models using the log predictive score criterion, a measure of the out-of-sample performance of each model, and consistently outperforms the best individual model. The benefits to model pooling are most pronounced during periods of economic stress, and it is a valuable tool for asset allocation decisions. [ABSTRACT FROM PUBLISHER]

We find that firm-level investment is negatively related to the likelihood of meeting or beating analysts' short-term EPS forecasts. In a 35-year panel dataset of US based companies, we find evidence that suggests firms with the best growth opportunities, opaque firms, and firms with higher than usual bonus compensation, are the ones to alter investment in order to beat benchmarks. Utilizing the passage of Sarbanes-Oxley as a natural experiment we find that firms trade off accruals-based earnings management in lieu of investment cuts. Results are robust to a number of covariates, and endogeneity or reverse causality does not seem to drive our inferences. This study suggests that, consistent with survey results from Graham, Harvey, and Rajgopal [2005. "The Economic Implications of Corporate Financial Reporting." Journal of Accounting and Economics 40: 3–73], managers may reduce or delay corporate investment to meet or beat short-term earnings benchmarks. [ABSTRACT FROM AUTHOR]

This paper examines the stock market reactions to the U.S. biotech firms' innovation news announcements during 1983–93. In addition to the positive abnormal returns observed during the announcement period, the paper identifies a medium-horizon negative drift in the stock price subsequent to firms' innovative events. The observed negative drift is robust to the benchmarks and procedures used in calculating the abnormal returns. Cross-sectional analysis demonstrates that the postannouncement abnormal returns are positively related to a firm's technology depth (measured by research and development [R&D] intensity) and book-to-market ratio, negatively related to the size. The evidence favors the investor expectational errors hypothesis and suggests that R&D or other intangibles are market-value relevant in the high-tech firms. [ABSTRACT FROM AUTHOR]

Hisse senedi piyasalarındaki anomaliler, rasyonel olmayan yatırımcı davranışlarından kaynaklanan hisse senetlerindeki yanlış fiyatlamalardır. Çalışmanın amacı, Temmuz 2008 - Haziran 2015 döneminde BIST 100 Endeksi kapsamında momentum anomalisinin geçerliliğini ve DD/PD Oranı, Firma Büyüklüğü, F/K oranı etkisini dikkate alan momentum yatırım stratejilerinin başarısını araştırmaktır. Bulgular, BIST 100 endeksi kapsamında momentum anomalisinin 6, 9 ve 12 aylık yatırım sürelerinde geçerli olduğunu, DD/PD oranı ve F/K oranı etkisini dikkate alan momentum yatırım stratejilerinin 3, 6, 9 ve 12 aylık yatırım sürelerinde momentum yatırım stratejisinin tek başına kullanımından daha fazla anormal getiri ürettiğini ortaya koymuştur.

We examine the association between the book-to-market (B/M) ratio and the subsequent earnings and default risk of US banks in the period around the Great Recession. We find that banks with higher B/M ratios have consistently lower future earnings and greater earnings volatility. In addition, these banks have higher loan delinquency, more charge-offs, and lower Z-scores. We show that the B/M ratio signals information about a bank's earnings and default risk about four to nine quarters before actual poor performance. Thus, the results show that the B/M ratio can provide advance signals for market monitoring of banks. [ABSTRACT FROM AUTHOR]

Building on theoretical asset pricing literature, we examine the role of market risk and the size, book‐to‐market (BTM), and volatility anomalies in the cross‐section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in explaining the cross‐section of unlevered equity returns, even after controlling for size and BTM. The size effect is weakened, while the value premium and the volatility puzzle virtually disappear for unlevered returns. We show that leverage induces heteroskedasticity in returns. Unlevering returns removes this pattern, which is otherwise difficult to address by controlling for leverage in regressions. [ABSTRACT FROM AUTHOR]

After the 2007/9 financial crisis, liquidity risk became the most dreaded financial risk of all times. However, our modern finance theories are modeled on the premises that markets are frictionless and hence liquidity plays no role, yet there is a plethora of literature that attest to the fact that liquidity is a cost that needs to be priced. This confirms the fact that markets are indeed full of friction and therefore, liquidity needs to be modeled accordingly. In this paper, a time-series regression approach is adopted to investigate the relationship between stock illiquidity and stock excess return on the JSE. The basis of the methodology followed in this study is that of Fama and MacBeth's (1973) cross-sectional multiple regression analysis. Specifically, Fama and French three-factor model plus liquidity is employed to test empirically the relationship between stock excess returns and liquidity together with other known, important time-series determinants of stock returns, such as beta, size, and book-to-market ratio. Liquidity is then added to the three factor model as the fourth factor thus, in addition to the excess return on the market. The results from this study show that liquidity is an important factor in pricing returns on the JSE as the stock excess returns are positively related to illiquidity and the relationship is significant. More specifically, the study revealed that the expected excess returns are positively and significantly related to stock systematic risk as measured by beta. This was the case across all the portfolios that were investigated. The three factor model shows a negative relationship though not significant. The there-factor model plus liquidity showed a positive relationship but not significant. Given the exhibited importance of liquidity in determining stock return, stock liquidity should be incorporated in dynamic stochastic general equilibrium models since markets in reality are not frictionless. Given that highly illiquid stocks are associated with higher expected returns as compared to liquid stocks, the conversional finance theories should be revised to reflect this new insight as this is a confirmation that markets have friction, thus liquidity plays an important role in the modeling of required return. [ABSTRACT FROM AUTHOR]

The weak value-growth premium of the Spanish stock market highlights the importance of enhancing the accounting-based fundamental strength of the value-growth strategy. This accounting strength is needed to detect potential errors in market expectations that result in mispriced stocks. When we select value-growth stocks whose accounting strength is incongruent with the market expectation reflected by their book-to-market ratio, the value-growth strategy becomes highly profitable. Our results are consistent with the evidence in the US market and demonstrate that stock markets with a weak value-growth premium are not necessarily free of errors in market expectations. We also demonstrate that the momentum effect allows better timing of this strategy, indicating the best time to buy and sell mispriced stocks. This effect increases profits and reduces the time needed to hold stocks to achieve these profits. [ABSTRACT FROM AUTHOR]

Abstract From the Fama–French three-factor model, the expected stock return is a negative function of market value of equity (i.e., firm size), and also positive of book-to-market ratio. In this paper, we develop a discrete-time asset pricing model under a framework of the partial equilibrium and analyze how the corporate lifecycle impacts on the relationship between them. The results show that as firms become mature, the negative impact of market value of equity, which reflects the relative importance of growth options, on expected stock returns will weaken. In contrast, the positive relationship between the book-to-market ratio and expected stock returns is not changing over time. The theoretical analysis is supported by the empirical results of A-share listed firms from 1998 to 2016 in China. Highlights • This paper develops a discrete-time asset pricing model under a framework of the partial equilibrium and analyzes how the firm lifecycle impacts on the relationship between two determinates and expected stock return. • The negative impact of firm size on expected stock returns will weaken as corporate lifecycle processes. • The positive impact of book-to-market ratio on expected stock returns is not changing over time. [ABSTRACT FROM AUTHOR]

Purpose: This paper focuses on the influence of overconfident managers on strategic investment acquisitions performance, by investigating the influence of key contextual factors on acquirers' returns of UK domestic and cross-border acquisitions during the period 2000-2009. In this study, particular attention has been paid to management attributes (frequent acquirers vs non-frequent acquirers); method of payment (cash vs non-cash deals); the geographic scope (domestic vs cross-border deals); the type of the target (public vs private); the industry scope; and the relative size. Design/methodology/approach: An event study is used to analyse domestic and cross-border acquisitions. The market model is used for estimating the acquirers' abnormal returns of 1,133 domestic and cross-border acquisitions by UK firms between 1 January 2000 and 31 December 2009. Findings: The findings reveal that acquirers with domestic targets have higher returns than cross-border targets. Infrequent acquirers generate higher returns from domestic and cross-border acquisitions than frequent acquirers. Further, acquirers that acquire domestic targets from different industrial sectors produce higher returns than acquirers with targets from the same sector. Acquirers with cash deals, private targets and high book-to-market ratio generate significant returns compared to acquirers with non-cash deals, low book-to-market ratio and public targets and that for domestic and cross-border deals. These results suggest that UK domestic and cross-border acquisitions are partially shaped by overconfident managers. Research limitations/implications: The study has a number of limitations, including the use of the market model, the data-collection process and the limited number of contextual factors. Future research may examine a number of avenues related to the current study, including incorporating the acquiring firms' financial characteristics. Practical implications: The study provides a better understanding of the influence of contextual factors on the success and failure of strategic investment projects such as acquisitions. Results of post-acquisitions performance in UK firms show how estimation of value can be distracted at the pre-acquisition stage because of overconfident managers. Originality/value: Results of post-acquisitions performance in UK firms show how estimation of value can be distracted at the pre-acquisition stage because of overconfident managers. [ABSTRACT FROM AUTHOR]

The book‐to‐market effect is well known but prior research does not analyze the impact of goodwill and related transformations in accounting rules that may bring significant changes to the effect. This paper analyzes the impact of SFAS 142, Goodwill and Other Intangible Assets, issued in 2001. I find that the book‐to‐market effect is weaker in the post‐SFAS 142 period, especially in firms that have goodwill, impairment loss, or risk. The book‐to‐market effect is stronger for subsamples of firms that do not have goodwill. These findings are robust to size groups, different factor models, and test methods. [ABSTRACT FROM AUTHOR]

This study investigated the relationship between share returns and nine variables that had been proven to influence returns in previous research, using a multiple regression analysis. These variables are size, leverage, book-to-market ratio, earnings yield, dividend payout, earnings growth, return on equity, earnings per share and asset growth. The impact of some of the variables on share returns proved to be insignificant, and some collinearity was identified between some of the variables. However, three significant variables were identified and the final regression model included the book-to-market ratio, dividend payout and leverage as the explanatory variables.

Firms that invest into positive net present value projects should outperform firms that do not invest. Surprisingly, several studies on United States data have found a negative relationship between capital investment and subsequent shareholder return. There are conflicting explanations for this negative relationship. The present study also confirmed a significant negative relationship between capital investment and subsequent shareholder returns in the South African developing market conditions. Over the period from 1992 to 2017, shares on the Johannesburg Stock Exchange with lower investment rates consistently outperformed shares with higher investment rates, exhibiting similar behaviour to the US. We find that the negative investment return is significantly associated to the firm’s book-to-market value consistent to the rational-based q-theory of investment with real options explanation. [ABSTRACT FROM AUTHOR]

Abuse of dominance cases under Article 102 TFEU concerning online platforms will require revisiting the process of the market definition in light of the complexities that are likely to arise due to the two- or multi-sided nature of such platforms. This distinctive nature will firstly require determining the number of relevant markets that need to be defined in each case before the scope of such markets can be accurately delineated. Unfortunately, however, the current approaches to this first, new step, of the market definition process are incompatible with business reality. Therefore this article provides an alternative approach to this complexity, which is better suited to guarantee the trueness of the market definition findings. Accordingly, this article indicates that the number of relevant markets in each case should be determined based on the typology of the interactions facilitated by the online platform and the degree of substitutability of such online platform with other non-platform undertakings from the perspective of its customers groups. This approach allows reaching findings of market power in a manner that adequately reflects the business reality of such platforms in the digital economy and the degree of competitive pressure they may experience in practice. [ABSTRACT FROM AUTHOR]

In this paper, we forecast industry returns out-of-sample using the cross-section of book-to-market (BM) ratios and investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting regressions show that cross-industry BM ratios contain significant predictive information beyond aggregate and industry-specific BM ratios. Forecast combination methods based on industry BM ratios generate significant out-of-sample predictability for many industries. Real-time portfolio-rotation strategies that buy industries with high predicted returns and short industries with low predicted returns based on combination forecasts earn significant alpha with respect to standard asset pricing models net of transaction costs. [ABSTRACT FROM AUTHOR]

Using a sample of 5,752 Taiwanese firm-year observations over the 2008 to 2012 period, we examine whether and how the existence of D&O insurance may affect firm performance. Our results suggest that whether to purchase D&O insurance is an endogenous corporate behavior, D&O insurance is not significantly related to firm performance. In addition, we find that firms with higher cash ratio, larger and more independent board are more likely to purchase the D&O insurance, while older firms are less likely to buy the D&O insurance. Our study implies that the government should not require firms to buy the D&O insurance. Instead, government should allow firms themselves to decide whether they optimally should purchase D&O insurance or not based on each firm's particular circumstances. Firms should also not just simply follow their peers to buy the D&O insurance. They should carefully compare the benefits and costs of the D&O insurance based on their own situations, and only buy the insurance when the benefits exceed the costs. [ABSTRACT FROM AUTHOR]

To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model's zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative model. This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum. Most importantly, BM is a critical factor in the model's explanatory ability. We present a robustness test, which includes selecting new sample data, adding new auxiliary variables, changing sample years, and adding industry fixed effects. In general, the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal. [ABSTRACT FROM AUTHOR]

The present paper presents both theoretically and practically a new computer model, currently developed only at the conceptual and analytical level. It is a web application called Investor's Valuation, which is in fact a way of evaluating securities listed on the BVB(Bucharest Stock Exchange) using a relational database for storing information. [ABSTRACT FROM AUTHOR]

Using two macro-based measures and one return-based measure of investment-specific technology (IST) shocks, we find that over the 1964-2012 period, exposure to IST shocks cannot explain cross-sectional return spreads based on book-to-market, momentum, asset growth, net share issues, accrual, and price-to-earnings ratio. Only one of the two macro-based measures can explain a sizable portion of the value premium over the longer 1930-2012 period. We also find that the IST risk premium estimates are sensitive to the sample period, the data frequency, the test assets, and the econometric model specification. Impulse responses of aggregate investment and consumption indicate potential measurement problems in IST proxies, which may contribute to the sensitivity of IST risk premium estimates and the failure of IST shocks to explain cross-sectional returns. This paper was accepted by Neng Wang, finance. [ABSTRACT FROM AUTHOR]

This study examines the role of growth and value stocks in Liquidity and Tobin's Q ratio, and also the validity of claims existing difference between Tobin Q ratio of the two types of stocks in companies accepted in Tehran Stock Exchange has been examined. The study period is between the years 1381 to 1390. We use Pooled Panel-Data Regression and EGLS and GMM methodS to estimate the model parameters. Also for the validity of a significant difference between Liquidity and Tobin Q ratio of growth and value stocks, analysis of variance test has been used . This paper contains significant and consistent results. The results of testing hypotheses for each of the ten years and the pooled sample show that price-to-book ratio and Size are negatively related to Stocks liquidity. The results demonstrated that growth stocks (especially small growth stocks) have higher Liquidity degree and Tobin's Q ratio than value stocks. The results indicated a significant difference between Liquidity and Tobin's Q ratio between the two stocks types.

In a production-based asset pricing model without adjustment costs and with decreasing returns to scale following Brock (1982), stock returns at the firm level are determined by profitability, the book-to-market ratio, and the change in future profitability prospects. Although firms with low book-to-market ratios are normally more profitable and profitable firms are predicted to have higher returns, the stylized fact that book-to-market ratios positively forecast returns still holds theoretically, but with specific predicted exceptions. These implications are confirmed empirically. [ABSTRACT FROM AUTHOR]

From 2011 in Australia, if over 25% of shareholders vote against a non-binding remuneration resolution, firms are awarded a 'strike'. We examine 237 firms that receive a strike relative to matched firms, and find no association with any measure of CEO pay. However, we do find that strike firms have higher book-to-market and leverage ratios, suggesting that the remuneration vote is not used to target excessive pay. We also find that firms respond to a strike by decreasing the discretionary bonus component of CEO pay by 57.10% more than non-strike firms and increasing their remuneration disclosure by 10.95%. [ABSTRACT FROM AUTHOR]

In this study Fama and French three-factor model is augmented to take into account the time variation in systematic risk (as measured by time-varying betas), in addition to size and book-to-market equity factors. It is investigated whether the two factors are still priced on the stock exchange of India if time variation in beta is considered. The study finds that both the size effect and the value effect persist and therefore, it can be concluded that the Fama-French model is robust after taking into account the time variation in systematic risk. [ABSTRACT FROM AUTHOR]

The main goal of this study is to examine firm and market level variables that predict stock returns by using quarterly data taken from July 1999 to December 2015. The study sample is sub-divided into pre and post financial crisis of 2007-08. The results of the study depict that in the pre-financial crisis period momentum and earnings growth rate are the significant predictors of stock returns while momentum, earnings growth rate, institutional ownership and trading volume are the significant predictors of stock returns in the post-financial crisis period. Furthermore, overall results show that momentum, earnings growth rate and size are the significant predictors of stock returns for the overall sample period. The results of the study are robust and can be generalized to other time periods. [ABSTRACT FROM AUTHOR]

The aim of this paper is to examine the validity of the four-factor asset pricing as a comparison the standard Fama-French three factor model using U.S. monthly stock return data from period January 1963 to December 2010. Monthly stock return are constructed into 25 portfolio while the four-factor model includes the market factor (beta), the size factor (SMB), the book-to-market factor (HML), and the 'momentum' factor (MOM) which represents winners minus losers in terms of returns. Time series regressions following Fama and French (1993) are employed which includes the three-factor model as well as the four-factor model. Results indicated that the four-factor model to some extent have significant capability in explaining the variations in average excess stock return which consistent with Carhart (1997). R2 from the four-factor model is just slightly higher than the three factor model yet it provides indicative for the robustness of the model. Meanwhile, the January seasonals are also able to be absorbed by the risk factors including the market, SMB, HML, and MOM. Since the four-factor model seems capable in explaining the variation of the stock returns then application of this model in emerging markets may provide guidance for investor in understanding the market condition. [ABSTRACT FROM AUTHOR]

Purpose The purpose of this paper is to examine whether cash flow volatility (CFV) has a negative impact on future stock returns, and whether the CFV-return relation is different among financially constrained and unconstrained firms, by using a broad sample of 21 developed markets.Design/methodology/approach The study conducts portfolio analysis to test the CFV effect on returns. Risk-adjusted returns (alphas) are computed with respect to country-specific factors based on market, size, book-to-market, and momentum.Findings The strategy of buying stocks with low CFV while shorting stocks with high CFV delivers significant alphas in more than three-fourths of the markets. The alphas for the long-short portfolio based on CFV are positive and statistically significant in more than 70 percent of the countries among financially constrained firms, largely driven by the underperformance of high-CFV stocks. In comparison, the CFV effect is observed in less than 45 percent of the countries among financially unconstrained firms, and is largely driven by the outperformance of low-CFV stocks.Originality/value This study extends prior findings by providing evidence of a negative relation between CFV and stock returns in a majority of global equity markets. The evidence also suggests an important role of financial constraints in explaining this relation. [ABSTRACT FROM AUTHOR]

The multifractality in stock returns have been investigated extensively. However, whether the autocorrelations in portfolio returns are multifractal have not been considered in the literature. In this paper, we detect multifractal behavior of returns of portfolios constructed based on two popular trading rules, size and book-to-market (BM) ratio. Using the multifractal detrended fluctuation analysis, we find that the portfolio returns are significantly multifractal and the multifractality is mainly attributed to long-range dependence. We also investigate the multifractal cross-correlation between portfolio return and market average return using the detrended cross-correlation analysis. Our results show that the cross-correlations of small fluctuations are persistent, while those of large fluctuations are anti-persistent. [ABSTRACT FROM AUTHOR]

This study compares the market-book relation of Australian and US firms using firm-level dynamic analysis of using annual data for a long-run period in error correction modelling. This paper contributes to a recent call for alternative ways of estimating Ohlson-type linear valuation models (Ohlson and Kim, 2015). Log transformations of the data are used in this study to improve the statistical properties of the models. This study contributes to the findings on linear valuation model estimation for long-run firms. Based on the returns model estimation, we find evidence of a higher level of co-integration between market and book values for Australian firms. [ABSTRACT FROM AUTHOR]