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.

Download or read book A theory of firm characteristics and stock returns the role of investment specific shocks written by Leonid Kogan and published by . This book was released on 2012 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a theoretical model linking firm characteristics and expected returns. The key ingredient of our model is technological shocks embodied in new capital (IST shocks), which affect the profitability of new investments. Firms' exposure to IST shocks is endogenously determined by the fraction of firm value due to growth opportunities. In our structural model, several firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of stock returns - help predict the share of growth opportunities in the firm's market value, and are therefore correlated with the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by firm characteristics; ii) the comovement of stock returns on firms with similar characteristics; iii) the failure of the CAPM to price portfolio returns of firms sorted on characteristics; iv) the time-series predictability of market portfolio returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend strips. Our model delivers testable predictions about the behavior of firm-level real variables - investment and output growth - that are supported by the data.

Download or read book DIY Financial Advisor written by Wesley R. Gray and published by John Wiley & Sons. This book was released on 2015-08-31 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth DIY Financial Advisor is a synopsis of our research findings developed while serving as a consultant and asset manager for family offices. By way of background, a family office is a company, or group of people, who manage the wealth a family has gained over generations. The term 'family office' has an element of cachet, and even mystique, because it is usually associated with the mega-wealthy. However, practically speaking, virtually any family that manages its investments—independent of the size of the investment pool—could be considered a family office. The difference is mainly semantic. DIY Financial Advisor outlines a step-by-step process through which investors can take control of their hard-earned wealth and manage their own family office. Our research indicates that what matters in investing are minimizing psychology traps and managing fees and taxes. These simple concepts apply to all families, not just the ultra-wealthy. But can—or should—we be managing our own wealth? Our natural inclination is to succumb to the challenge of portfolio management and let an 'expert' deal with the problem. For a variety of reasons we discuss in this book, we should resist the gut reaction to hire experts. We suggest that investors maintain direct control, or at least a thorough understanding, of how their hard-earned wealth is managed. Our book is meant to be an educational journey that slowly builds confidence in one's own ability to manage a portfolio. We end our book with a potential solution that could be applicable to a wide-variety of investors, from the ultra-high net worth to middle class individuals, all of whom are focused on similar goals of preserving and growing their capital over time. DIY Financial Advisor is a unique resource. This book is the only comprehensive guide to implementing simple quantitative models that can beat the experts. And it comes at the perfect time, as the investment industry is undergoing a significant shift due in part to the use of automated investment strategies that do not require a financial advisor's involvement. DIY Financial Advisor is an essential text that guides you in making your money work for you—not for someone else!

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:

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.

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:

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:

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.

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.

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.

Download or read book Factor Models Under Firm Characteristics in Emerging Markets written by Anlin Chen and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fama and French (1993) propose a three-factor model to describe the stock return behavior. However, it is challenged that stock returns are determined by firm characteristics rather than certain common factors. We are curious if a factor-based model with more factors can mitigate the effects of firm characteristics on stock returns. Our results show that the factor-based models are significant but not sufficient for the stock returns in Taiwan. Size or book-to-market ratio alone cannot influence the stock returns under a factor-based model. However, size along with book-to-market is significant under a factor-based model. Furthermore, the risk characteristics are more influential than the factor loading in the behaviors of stock returns. We conclude that either factor-based models or firm characteristics alone cannot fully explain the stock return behaviors in Taiwan Stock Exchange. Employing only factor-based model or only risk characteristics will lose some important contents in the stock returns.

Download or read book Empirical Examination of the Association Between Firm Characteristics and the Adoption of Long term Performance Plans written by Young-Ho Nam and published by . This book was released on 1990 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonlinear Relations Between Stock Returns and Accounting Variables written by Peta Alana Stevenson-Clarke and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book Predicting Stock Returns with Firm Characteristics by Machine Learning Techniques written by Shihao Gu and published by . This book was released on 2017 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose multiple advanced learning methods to deal with the "curse of dimensionality" challenge in the cross-sectional stock returns. Our purpose is to predict the one-month-ahead stock returns by the rm characteristics which are so-called "anomalies". Compared with the traditional methods like portfolio sorting and Fama Factor models, we focus on using all existing machine learning methods to do the prediction rather than the explanation. To alleviate the concern of excessive data mining, we use several regularization penalties that can lead to a sparse and robust model. Our method can identify the return predictors with incremental pricing information and learn the interaction effects by applying to a hierarchical structure. Our best method can achieve much higher out of sample R2 and portfolio Sharp Ratios than traditional linear regression method.

Download or read book Firm Characteristics and Chinese Stocks written by Fuwei Jiang and published by . This book was released on 2018 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper conducts a comprehensive study on predicting the cross section of Chinese stock market returns with a large panel of 75 individual firm characteristics. We use not only the traditional Fama-MacBeth regression, but also “big-data” econometric methods: principal component analysis (PCA), the partial least squares (PLS) and forecast combination to extract information from all of the 75 firm characteristics. We find the firm characteristics are important predictors, significant both statistically and economically. In addition, the recent developed PLS performs the best. Our empirical results further indicate that those firm characteristics that are related to trading frictions, momentum, and profitability are the most effective predictors for future stock returns in the Chinese stock market.

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