Firm Characteristics and Long-Run Stock Returns after Corporate Events

2012 ◽  
Author(s):  
Hendrik (Hank) Bessembinder ◽  
Feng Zhang
Keyword(s):  
Stock Returns ◽  
Firm Characteristics ◽  
Long Run

scholarly journals European cross-border acquisitions: Long-run stock returns and firm characteristics

2018 ◽  
Vol 47-48 ◽  
pp. 31-45 ◽  
Author(s):  
Mathias Jensen-Vinstrup ◽  
Damiana Rigamonti ◽  
Jesper Wulff
Keyword(s):  
Stock Returns ◽  
Firm Characteristics ◽  
Cross Border ◽  
Long Run

Firm characteristics and long-run stock returns after corporate events

2013 ◽  
Vol 109 (1) ◽  
pp. 83-102 ◽  
Author(s):  
Hendrik Bessembinder ◽  
Feng Zhang
Keyword(s):  
Stock Returns ◽  
Firm Characteristics ◽  
Long Run

When the Market Went Viral: COVID-19, Stock Returns, and Firm Characteristics

2020 ◽  
Author(s):  
Avijit Bansal ◽  
Balagopal Gopalakrishnan ◽  
Joshy Jacob ◽  
Pranjal Srivastava
Keyword(s):  
Stock Returns ◽  
Firm Characteristics

scholarly journals Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)

2021 ◽  
Vol 14 (3) ◽  
pp. 127
Author(s):  
Marco Tronzano
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Financial Crises ◽  
Stock Price ◽  
Financial Risk ◽  
Swiss Franc ◽  
Chinese Stock Market ◽  
Stock Market Index ◽  
Defensive Role ◽  
Long Run

This paper focuses on four major aggregate stock price indexes (SP 500, Stock Europe 600, Nikkei 225, Shanghai Composite) and two “safe-haven” assets (Gold, Swiss Franc), and explores their return co-movements during the last two decades. Significant contagion effects on stock markets are documented during almost all financial crises; moreover, in line with the recent literature, the defensive role of gold and the Swiss Franc in asset portfolios is highlighted. Focusing on a new set of macroeconomic and financial series, a significant impact of these variables on stock returns correlations is found, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including the Chinese stock market index. Overall, this empirical evidence is of interest for researchers, financial risk managers and policy makers.

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

2020 ◽  
Vol 33 (5) ◽  
pp. 2180-2222 ◽  
Author(s):  
Victor DeMiguel ◽  
Alberto Martín-Utrera ◽  
Francisco J Nogales ◽  
Raman Uppal
Keyword(s):  
Transaction Costs ◽  
Stock Returns ◽  
Firm Characteristics ◽  
Pricing Models ◽  
Oxford University ◽  
Asset Pricing Models ◽  
Economic Rationale ◽  
Underlying Stocks ◽  
Different Characteristics ◽  
Published Paper

Abstract We investigate how transaction costs change the number of characteristics that are jointly significant for an investor’s optimal portfolio and, hence, how they change the dimension of the cross-section of stock returns. We find that transaction costs increase the number of significant characteristics from 6 to 15. The explanation is that, as we show theoretically and empirically, combining characteristics reduces transaction costs because the trades in the underlying stocks required to rebalance different characteristics often cancel out. Thus, transaction costs provide an economic rationale for considering a larger number of characteristics than that in prominent asset-pricing models. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

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