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Full-Text Articles in Business
Information Acquisition And Expected Returns: Evidence From Edgar Search Traffic, Frank Weikai Li, Chengzhu Sun
Information Acquisition And Expected Returns: Evidence From Edgar Search Traffic, Frank Weikai Li, Chengzhu Sun
Research Collection Lee Kong Chian School Of Business
This paper examines expected return information embedded in investors' information acquisition activity. Using a novel dataset containing investors' access of company filings through SEC's EDGAR system, we reverse engineer their expectations over future payoffs and show that the abnormal number of IPs searching for firms' financial statements strongly predict future returns. The return predictability stems from investors allocating more effort to firms with improving fundamentals and following exogeneous shock to underpricing. A long-short portfolio based on our measure of information acquisition activity generate monthly abnormal return of 80 basis points and does not reverse over the long-run.. In addition, the …
The Pricing Of Initial Public Offering And Market Efficiency, Chiyachantana N. Chiraphol
The Pricing Of Initial Public Offering And Market Efficiency, Chiyachantana N. Chiraphol
Research Collection Lee Kong Chian School Of Business
This study investigates long-run performance of Thai initial public offerings (IPOs). To examine the longrun performance of Thai IPOs, we compute buy-and-hold abnormal returns and cumulative abnormal returns for two years after the IPOs. We find strong evidence of long run underpricing in Thai market. Specifically, the average buy-and-hold abnormal returns and cumulative abnormal returns are 64.5% and 18.4% respectively. However, our multi-variate analysis does not indicate a strong relation between long-run underperformance and firm-specific factors, such as firm size, firm age, investment banker reputation and firm profitability.
Industry Recommendations: Characteristics, Investment Value, And Relation To Firm Recommendations, Ohad Kadan, Madureira Leonardo, Rong Wang, Tzachi Zach
Industry Recommendations: Characteristics, Investment Value, And Relation To Firm Recommendations, Ohad Kadan, Madureira Leonardo, Rong Wang, Tzachi Zach
Research Collection Lee Kong Chian School Of Business
We study analysts’ industry recommendations. We find that the distribution of industry recommendations is quite balanced. Analysts show more optimism towards industries with high levels of R&D, past profitability and past returns. Industry recommendations possess investment value as portfolios based on these recommendations generate risk-adjusted abnormal returns. Finally, industry recommendations contain information which is orthogonal to that included in firm recommendations, and more so for brokers who benchmark their firm recommendations to industry peers. Consequently, the investment value of analysts’ recommendations is enhanced when both industry and firm recommendations are used.
Statistical Arbitrage And Market Efficiency: Enhanced Theory, Robust Tests And Further Applications, Robert A. Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka
Statistical Arbitrage And Market Efficiency: Enhanced Theory, Robust Tests And Further Applications, Robert A. Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka
Research Collection Lee Kong Chian School Of Business
Statistical arbitrage enables tests of market efficiency which circumvent the joint-hypotheses dilemma. This paper makes several contributions to the statistical arbitrage framework. First, we enlarge the set of statistical arbitrage opportunities in Hogan, Jarrow, Teo, and Warachka (2004) to avoid penalizing incremental trading profits with positive deviations from their expected value. Second, we provide a statistical methodology to remedy the lack of consistency and statistical power in their Bonferroni approach. In addition, this procedure allows for autocorrelation and non-normality in trading profits. Third, we apply our tests to a wide range of trading strategies based on stock momentum, stock value, …