Results 1 - 10 of 3,166

Size effect, book-to-market effect, and survival

by Xiaozu Wang - Journal of Multinational Financial Management , 2000
"... Abstract Previous studies find that small stocks have higher average returns than large stocks, and the difference between the returns can not be accounted for by the systematic risk, i. In my analysis of Compustat and CRSP data from 1976 to 1995, and simulation experiments based on the data, I fin ..."
Abstract - Cited by 2 (0 self) - Add to MetaCart
find the size effect can be largely explained by data truncation that is caused by survival. Small stocks' returns are more volatile, and small stocks are more likely to go bankrupt and less likely to meet the stock exchanges' minimum capitalization requirements for listing. As a result

Conditional Nonlinear Asset Pricing Kernels and the Size and Book-to-Market Effects

by Stephen D. Burke , 2001
"... In this paper, we develop and test asset pricing model formulations that are simultaneously conditional and nonlinear. Formulations based upon five popular asset pricing models are tested against the widely studied Fama and French (1993) twenty-five size and book-tomarket sorted portfolios. Test re ..."
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results indicate that the conditional nonlinear specification of the Fama and French (1993) three state variable model (FF3) is the only specification not rejected by the data and thus capable of pricing the “size” and “book-to-market” effects simultaneously. The pricing performance of the FF3 conditional

ADVANCE – Centro de Investigação Avançada do ISEG “Value Investing: The Book-To-Market Effect, Accounting Information,

by Stock Returns, David Almas, João Duque , 2008
"... Although the book-to-market (B/M) effect is vastly studied, the majority of the conclusions in prior analysis is only applicable to U.S. firms. In this work, we evaluate the performance of portfolios selected using three modified versions of B/M strategy applied to stocks listed in Euronext markets ..."
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Although the book-to-market (B/M) effect is vastly studied, the majority of the conclusions in prior analysis is only applicable to U.S. firms. In this work, we evaluate the performance of portfolios selected using three modified versions of B/M strategy applied to stocks listed in Euronext markets

Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying

by Martin Lettau, Sydney Ludvigson, John Heaton, Ravi Jagannathan, Timothy Simin, Robert Vishny - Journal of Political Economy , 2001
"... This paper explores the ability of conditional versions of the CAPM and the consumption CAPM—jointly the (C)CAPM—to explain the cross section of average stock returns. Central to our approach is the use of the log consumption–wealth ratio as a conditioning variable. We demonstrate that such conditio ..."
Abstract - Cited by 246 (10 self) - Add to MetaCart
portfolios and exhibits little evidence of residual size or book-to-market effects. We are grateful to Eugene Fama and Kenneth French for graciously providing the

Momentum strategies

by Louis K. C. Chan, Narasimhan Jegadeesh, Josef Lakonishok - Journal of Finance , 1996
"... We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk, si ..."
Abstract - Cited by 334 (4 self) - Add to MetaCart
, size, and book-to-market effects do not explain the drifts. There is little evidence of subsequent reversals in the returns of stocks with high price and earnings momentum. Security analysts ' earnings forecasts also respond sluggishly to past news, especially in the case of stocks with the worst

Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns

by Murray Carlson, Adlai Fisher, Ron Giammarino, Eduardo Schwartz, Tan Wang, Yong Wang, Robert Whitelaw - Journal of Finance , 2004
"... We show that corporate investment decisions can explain conditional dynamics in expected asset returns. Our approach is similar in spirit to Berk, Green, and Naik (1999), but we introduce to the investment problem operating leverage, reversible real options, fixed adjustment costs, and finite growth ..."
Abstract - Cited by 207 (8 self) - Add to MetaCart
growth opportunities. Asset betas vary over time with historical investment decisions and current product market demand. Book-to-market effects emerge and relate to operating leverage, while size captures the residual importance of growth options relative to as-sets in place. We estimate and test

Default risk and equity returns

by Maria Vassalou, Yuhang Xing - Journal of Finance , 2004
"... This is the first study that computes default measures for individual firms using Merton’s (1974) option pricing model, to assess the effect that default risk has on equity returns. We find that equally-weighted portfolios of stocks with high default probability earn significantly higher returns tha ..."
Abstract - Cited by 183 (1 self) - Add to MetaCart
than equally-weighted portfolio of stocks with low default probability. In addition, both the size and book-to-market effects are present only within the portfolio of stocks with the highest default probabilities. Once stocks with the 30 % highest default probabilities are excluded from the sample

Dynamic capabilities and strategic management

by David J. Teece, Gary Pisano, Amy Shuen - Strategic Management Journal , 1997
"... The dynamic capabilities framework analyzes the sources and methods of wealth creation and capture by private enterprise firms operating in environments of rapid technological change. The competitive advantage of firms is seen as resting on distinctive processes (ways of coordinating and combining), ..."
Abstract - Cited by 1792 (7 self) - Add to MetaCart
), shaped by the firm’s (specific) asset positions (such as the firm’s portfolio of difficult-to-trade knowledge assets and complementary assets), and the evolution path(s) it has adopted or inherited. The importance of path dependencies is amplified where conditions of increasing returns exist. Whether

CAPM Over the Long-Run: 1926-2001

by Andrew Ang, et al. , 2003
"... The CAPM can account for the spread in the average returns of portfolios sorted by book-to-market ratios over the long-run from 1926-2001. In contrast, other studies document strong evidence of a book-to-market effect using post-1963 data, but they do so by relying on asymptotic standard errors. We ..."
Abstract - Cited by 66 (6 self) - Add to MetaCart
The CAPM can account for the spread in the average returns of portfolios sorted by book-to-market ratios over the long-run from 1926-2001. In contrast, other studies document strong evidence of a book-to-market effect using post-1963 data, but they do so by relying on asymptotic standard errors. We

Market Timing and Capital Structure

by Malcolm Baker, Jeffrey Wurgler - THE JOURNAL OF FINANCE • VOL. LVII, NO. 1 • FEB. 2002 , 2002
"... It is well known that firms are more likely to issue equity when their market values are high, relative to book and past market values, and to repurchase equity when their market values are low. We document that the resulting effects on capital structure are very persistent. As a consequence, curren ..."
Abstract - Cited by 427 (13 self) - Add to MetaCart
It is well known that firms are more likely to issue equity when their market values are high, relative to book and past market values, and to repurchase equity when their market values are low. We document that the resulting effects on capital structure are very persistent. As a consequence
Results 1 - 10 of 3,166