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Finance and Financial Management Commons™
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- Adjustment costs (1)
- Board Independence (1)
- Book-to-market effect (1)
- Capital structure (1)
- Difference-In-Difference (1)
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- Endogeneity (1)
- Hedge funds (1)
- Innovation (1)
- Institutional demand (1)
- Macroeconomic conditions (1)
- Market anomalies (1)
- Market imperfections (1)
- Market share growth (1)
- Mechanical mean reversion (1)
- Outside Director (1)
- Procyclicality (1)
- SOX (1)
- Speed of adjustment (SOA (1)
- Stock market returns (1)
Articles 1 - 4 of 4
Full-Text Articles in Finance and Financial Management
Market Share Growth And Stock Returns, Jaideep Chowdhury, Gokhan Sonaer, Umut Celiker
Market Share Growth And Stock Returns, Jaideep Chowdhury, Gokhan Sonaer, Umut Celiker
Business Faculty Publications
We find a negative relationship between market share growth and subsequent stock returns, three- and four-factor alphas. We report the potential explanatory role of market share growth in explaining subsequent average monthly stock returns. High (Low) market share growth firms report good (poor) operating performance and positive (negative) SUEs in the quarter in which market share growth is measured and investors overact to that good (bad) news. However, high (low) market share growth firms experience decrease (increase) in operating performance and SUEs in the subsequent quarters resulting in corrections in investors’ expectations and subsequent lower (higher) stock returns.
Hedge Fund Vs. Non-Hedge Fund Institutional Demand And The Book-To-Market Effect, Mustafa Onur Caglayan, Umut Celiker, Gokhan Sonaer
Hedge Fund Vs. Non-Hedge Fund Institutional Demand And The Book-To-Market Effect, Mustafa Onur Caglayan, Umut Celiker, Gokhan Sonaer
Business Faculty Publications
Recent studies have documented that institutional investors trade contrary to the predictions of the book-to market anomaly. We examine whether a prominent sub-group of institutional investors, namely hedge funds, differ from other institutions in terms of their trading behavior with respect to the book-to-market effect. We find that hedge funds significantly alter their trading preferences with respect to growth and value stocks, after book-to-market values become public information. More importantly, we show that hedge funds are better able to identify overpriced growth stocks compared to other institutions. Our results contribute to the literature on institutional investors’ trading with respect to …
Market Imperfections, Macroeconomic Conditions, And Capital Structure Dynamics: A Cross-Country Study, Moonsoo Kang, Wei Wang, Ying Xiao
Market Imperfections, Macroeconomic Conditions, And Capital Structure Dynamics: A Cross-Country Study, Moonsoo Kang, Wei Wang, Ying Xiao
Business Faculty Publications
This paper investigates how “systematic” adjustment costs proxied by market imperfections and macroeconomic conditions affect capital structure dynamics in a cross-country setting. We document substantial variations in firms’ capital structure adjustments across countries and, particularly, over time. Consistent with adjustment costs impeding firms from rebalancing their capital structures, worse market imperfections are associated with slower speeds of adjustment (SOA) and larger leverage deviations. Intertemporally, capital structure adjustment is procyclical, with SOA increasing by 0.9 percentage point for a one-percentage-point increase in GDP growth rate. The procyclicality is attributable to good macroeconomic conditions mitigating market imperfections through channels of 1) facilitating …
Managerial Conservatism, Board Independence And Corporate Innovation, Jun Lu, Wei Wang
Managerial Conservatism, Board Independence And Corporate Innovation, Jun Lu, Wei Wang
Business Faculty Publications
Using panel data on U.S. public firms, we document a positive effect of board independence on corporate innovation. This effect is concentrated in firms that are larger in size, in the non-technical industries, facing less product market competition, and using more debt, where managers are more likely to be excessively risk averse. We establish causality of board independence on innovation using a difference-in-difference approach that exploits an exogenous shock to board composition, namely, the mandate of a majority of outside directors on company boards by NYSE and NASDAQ in response to the passage of Sarbanes-Oxley Act in 2002. We further …