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Full-Text Articles in Business
Do Analyst Earnings Beta Explain Growth Anomaly?, Sophie Phuong Thanh Doan
Do Analyst Earnings Beta Explain Growth Anomaly?, Sophie Phuong Thanh Doan
Dissertations and Theses Collection (Open Access)
Using a measure of cashflow risk derived from analyst forecasts, I find that cashflow risk offers a partial explanation for the value – growth anomaly. In particular, the lowest asset growth portfolio has a higher earnings beta than the highest asset growth portfolio. Approximately cashflow risk measured by earnings beta carries a significant positive risk premium of 1.24% with a t-value of 3.51.
Short-Selling Prior To Analyst Recommendations, Can Qu
Short-Selling Prior To Analyst Recommendations, Can Qu
Dissertations and Theses Collection (Open Access)
This paper investigates short-selling five days prior to analyst recommendations by using a complete data set from Reg SHO database during January, 2005 to July, 2007. Empirical tests uncover the evidence that short-sellers significantly increase their short positions prior to negative analyst recommendations, which is consistent with the informed trading hypothesis. This finding is robust to model specification. Further, this paper also examines which of the two competing hypotheses-prediction and tipping-could better explain short-sellers’ informative front-running. The tests indicate that short-sellers use book-to-market ratio as a filter to narrow down their pool of candidates, while market capitalization doesn’t play a …
Discounts And Termination Of Close-End Funds, Chen Chen
Discounts And Termination Of Close-End Funds, Chen Chen
Dissertations and Theses Collection (Open Access)
Based on an extensive sample of U.S. closed end funds undergoing termination, this study offers a comprehensive analysis of closed end fund exiting behaviors. There are four ways for a fund to exit: merger into other closed-end fund, liquidation, conversion to open-end mutual fund and merger into open-end mutual fund. Closed-end funds that exit must choose the most efficient and optimal mechanisms corresponding to funds‟ characteristics and organizational forms. In this study, I find that closed-end funds exit optimally. First, funds with persistently larger discount and smaller size are more likely to exit and consistent with rational expectation, market incorporates …