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Identifying overvalued equity 识别估值过高的股权
IF 1.2
Review of Financial Economics Pub Date : 2023-07-06 DOI: 10.1002/rfe.1182
Messod D. Beneish, David Craig Nichols
{"title":"Identifying overvalued equity","authors":"Messod D. Beneish, David Craig Nichols","doi":"10.1002/rfe.1182","DOIUrl":"https://doi.org/10.1002/rfe.1182","url":null,"abstract":"We develop a profile of overvalued equity, and show that firms meeting this profile experience abnormal stock returns <i>net of transaction costs</i> of −22% to −25% over the 12 months following portfolio formation. We show our model is distinct from predictors proposed in prior work, and our results robust to alternative measurements of expected returns. We also show that overvaluation is not confined to small firms and that institutions do not trade as if they identify overvalued equity. The profitable predictability we document suggests a pricing anomaly relating to the 2.5% of the firms in the population that our model identifies as substantially overvalued. Although we believe markets are generally efficient within the bounds of transaction costs, our evidence suggests that violations of minimally rational use of publicly available information do occur. To the extent that anomalies disappear or attenuate once documented in the literature (Doukas et al., 2002 [European Financial Management, 2002, 8, 229]; Schwert, 2003 [Handbook of the Economics of Finance, 2003, 1, 939]), our results are of interest to financial economists and investors.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"42 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138529157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The effects of foreign bank presence on financial development in Africa: The role of institutional quality 外国银行的存在对非洲金融发展的影响：制度质量的作用
IF 1.2
Review of Financial Economics Pub Date : 2023-05-10 DOI: 10.1002/rfe.1183
K. Iddrisu, J. Abor, K. Banyen
{"title":"The effects of foreign bank presence on financial development in Africa: The role of institutional quality","authors":"K. Iddrisu, J. Abor, K. Banyen","doi":"10.1002/rfe.1183","DOIUrl":"https://doi.org/10.1002/rfe.1183","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49127959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Trust rhetoric and CEO gender 信任言论与CEO性别
IF 1.2
Review of Financial Economics Pub Date : 2023-04-05 DOI: 10.1002/rfe.1181
Wolfgang Breuer, Andreas Knetsch, A. Salzmann
{"title":"Trust rhetoric and\u0000 CEO\u0000 gender","authors":"Wolfgang Breuer, Andreas Knetsch, A. Salzmann","doi":"10.1002/rfe.1181","DOIUrl":"https://doi.org/10.1002/rfe.1181","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48010311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Small business administration loans, economic development, and state‐level employment 小企业管理贷款、经济发展和国家级就业
IF 1.2
Review of Financial Economics Pub Date : 2023-03-30 DOI: 10.1002/rfe.1177
Paul E. Orzechowski
{"title":"Small business administration loans, economic development, and state‐level employment","authors":"Paul E. Orzechowski","doi":"10.1002/rfe.1177","DOIUrl":"https://doi.org/10.1002/rfe.1177","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47520917","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
On the time‐varying relationship between coskewness and returns of banks 银行收益与余偏性的时变关系
IF 1.2
Review of Financial Economics Pub Date : 2023-03-29 DOI: 10.1002/rfe.1178
S. Bressan, Alex Weissensteiner
{"title":"On the time‐varying relationship between coskewness and returns of banks","authors":"S. Bressan, Alex Weissensteiner","doi":"10.1002/rfe.1178","DOIUrl":"https://doi.org/10.1002/rfe.1178","url":null,"abstract":"For a sample of US commercial banks, we find that during the Global Financial Crisis of 2007–2009 and the COVID-19 pandemic of February–December 2020, bank returns were positively related to their coskewness with the market return, while the relationship was negative during stable periods. The literature on non-financial firms and global equity indices has shown that the relationship between coskewness and stock returns is time-variant. The findings of this study extend that evidence to banks. The interpretation is that in normal times, investors show a preference for \"lotteryness,” and therefore they are willing to pay a premium for bank stocks with a high coskewness (i.e., low expected return). In contrast, during crises, stocks with a high coskewness are more likely to suffer deep losses, and investors are reluctant to demand these risky high returns. These findings deliver important insights into how to interpret bank capital costs throughout the business cycle, as we suggest that during crises the issuance of equity capital becomes more costly for banks because investors demand higher coskewness risk premiums. © 2023 The Authors. Review of Financial Economics published by Wiley Periodicals LLC on behalf of University of New Orleans.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":"1 1","pages":""},"PeriodicalIF":1.2,"publicationDate":"2023-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"51324229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Forecasting liquidity‐adjusted VaR : A conditional EVT ‐copula approach 预测流动性调整后的VaR:一种条件EVT -联结方法
IF 1.2
Review of Financial Economics Pub Date : 2022-11-04 DOI: 10.1002/rfe.1176
M. Karmakar, Ravi Khadotra
{"title":"Forecasting\u0000 liquidity‐adjusted VaR\u0000 : A conditional\u0000 EVT\u0000 ‐copula approach","authors":"M. Karmakar, Ravi Khadotra","doi":"10.1002/rfe.1176","DOIUrl":"https://doi.org/10.1002/rfe.1176","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2022-11-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48181725","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Equity closed‐end fund discounts and taxes 权益封闭式基金折扣和税费
IF 1.2
Review of Financial Economics Pub Date : 2022-10-17 DOI: 10.1002/rfe.1175
S. Paudel, S. Silveri, M. Wu
{"title":"Equity closed‐end fund discounts and taxes","authors":"S. Paudel, S. Silveri, M. Wu","doi":"10.1002/rfe.1175","DOIUrl":"https://doi.org/10.1002/rfe.1175","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2022-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49385671","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do married CEOs Foster more efficient innovation? 已婚CEO培养更高效的创新吗？
IF 1.2
Review of Financial Economics Pub Date : 2022-10-07 DOI: 10.1002/rfe.1174
Chanho Cho, Timothy Mooney, Daewoung Choi, M. Via
{"title":"Do married CEOs Foster more efficient innovation?","authors":"Chanho Cho, Timothy Mooney, Daewoung Choi, M. Via","doi":"10.1002/rfe.1174","DOIUrl":"https://doi.org/10.1002/rfe.1174","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2022-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48548349","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Industry tournament incentives and differential risk taking 行业竞赛激励和差异化风险承担
IF 1.2
Review of Financial Economics Pub Date : 2022-08-21 DOI: 10.1002/rfe.1173
Hussein Abdoh
{"title":"Industry tournament incentives and differential risk taking","authors":"Hussein Abdoh","doi":"10.1002/rfe.1173","DOIUrl":"https://doi.org/10.1002/rfe.1173","url":null,"abstract":"","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2022-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47133492","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Homemade equity offerings via dividend reinvestment and stock purchase plans 通过股息再投资和股票购买计划进行的国内股票发行
IF 1.2
Review of Financial Economics Pub Date : 2022-07-29 DOI: 10.1002/rfe.1172
Shaun A. Bond, Y. Pai, Suyan Zheng
{"title":"Homemade equity offerings via dividend reinvestment and stock purchase plans","authors":"Shaun A. Bond, Y. Pai, Suyan Zheng","doi":"10.1002/rfe.1172","DOIUrl":"https://doi.org/10.1002/rfe.1172","url":null,"abstract":"This paper investigates equity issuances through Dividend Reinvestment and Stock Purchase Plans (DRSPPs). Using a unique sample collected from security registration filings, we show that firms can issue new shares through DRSPPs without using underwriters and consequently, save a large part of direct costs. This economical form of equity offering helps firms, especially those paying high dividends (i.e., Real Estate Investment Trusts), retain a substantial amount of cash flow from operations. The alternative source of capital is crucial for some financially constrained firms to maintain growth. The determinants of equity issuance via DRSPPs are different between REITs and industrial firms. Moreover, unlike seasoned equity offerings, equity offerings via DRSPPs can avoid negative stock market reactions around the issuance date. Overall, our findings expand upon an existing discovery of innovative strategic practices for equity financing and provide direct evidence showing that the Pecking Order still drives firms’ financing.","PeriodicalId":51691,"journal":{"name":"Review of Financial Economics","volume":" ","pages":""},"PeriodicalIF":1.2,"publicationDate":"2022-07-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48556054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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