A Fast Literature Search Engine based on top-quality journals, by Dr. Mingze Gao.
- Topic classification is ongoing.
- Please kindly let me know [mingze.gao@mq.edu.au] in case of any errors.
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Results 556 resources
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We construct a “universe” of over 18,000 fundamental signals from financial statements and use a bootstrap approach to evaluate the impact of data mining on fundamental-based anomalies. We find that many fundamental signals are significant predictors of cross-sectional stock returns even after accounting for data mining. This predictive ability is more pronounced following high-sentiment periods and among stocks with greater limits to arbitrage. Our evidence suggests that fundamental-based anomalies, including those newly discovered in this study, cannot be attributed to random chance, and they are better explained by mispricing. Our approach is general and we also apply it to past return–based anomalies.
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We show that a linear pure strategy equilibrium may not exist in the model of Madrigal (1996), contrary to the claim of the original paper. This is because Madrigal's characterization of a pure strategy equilibrium omits a second‐order condition. If the nonfundamental speculator's information about noise trading is sufficiently precise, a linear pure strategy equilibrium fails to exist. In parameter regions where a pure strategy equilibrium does exist, we identify a few calculation errors in Madrigal (1996) that result in misleading implications.
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In line with the psychological theory of place attachments, managers favor hometown workers over others. Consistent with this prediction, I find that following periods of industry distress, establishments located near CEOs’ childhood homes experience fewer employment and pay reductions and are less likely to be divested relative to other firm establishments. While it is not possible to directly test whether this employment bias destroys firm value, managers only implement these policies when governance is weak, suggesting that this favoritism is suboptimal. Together, these results provide direct evidence of employee favoritism and show that idiosyncratic manager styles impact corporate employment decisions.
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I exploit the passage of the U.K. Bribery Act 2010 as a shock to U.K. firms’ cost of doing business. Around the Act’s passage, U.K. firms operating in high-corruption countries experience a drop in firm value, while their non-U.K. competitors in these countries encounter an increase. U.K. firms respond to the Act by reducing the expansion of their subsidiary network into perceptively corrupt countries. Moreover, their sales and merger and acquisition (M&A) activity in such countries declines. In sum, bribes facilitate doing business in certain countries. Imposing unilateral antibribery regulations on some firms benefits their unregulated competitors.
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I show that investor confidence (size of ambiguity) about future consumption growth is driven by past consumption growth and inflation. The impact of inflation on confidence has moved considerably over time and switched on average from negative to positive in 1997. Motivated by this evidence, I develop and estimate a model in which the confidence process has discrete regime shifts, and I find that the time-varying impact of inflation on confidence enables the model to match bond risks over different subperiods. The model can also account for stock and bond return predictability, and correlation between price-dividend ratios and inflation, among other features of the data.
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Journals
- American Economic Review (263)
- Journal of Finance (64)
- Journal of Financial Economics (121)
- Review of Financial Studies (108)
Topic
- Bond (25)
- CEO (16)
- Director (6)
- Mergers and Acquisitions (5)
- Capital Structure (2)
Resource type
- Journal Article (556)