A corporate arbitrage approach to the cross-section of stock returns
Our rough guess is there are 14,250 words in this book.
At a pace averaging 250 words per minute, this book will take 0 hours and 57 minutes to read. With a half hour per day, this will take 2 days to read.
How long will it take you?
This book will take an estimated to read at a reading speed averaging words per minute. With 30 minutes per day, this will take to read.
Enter your reading speedYou can take one of our WPM reading speed tests to find your reading speed.
Create a free account to track your reading progress, build your reading list, and set reading goals.
Author
Contributions
- Hanson, Samuel (Samuel Gregory) - Contributor
- Harvard Business School - Contributor
Publication
2009 - Harvard Business School, Boston, Massachusetts
Language
English
Word Count
14,250 words, Guess
Page Count
57 pages
Identifiers
- OCLC Control Number541953334
- Open LibraryOL50195152M
Description
When investors overvalue a particular firm characteristic, corporations endowed with that characteristic can absorb some of the demand by issuing equity. We use time-series variation in differences between the attributes of stock issuers and repurchasers to shed light on characteristic-related mispricing. When issuing firms are large relative to repurchasing firms, for example, we find that large firms subsequently underperform. This holds true even when we restrict attention to the returns of firms that do not issue at all, suggesting that issuance is partly an attempt to arbitrage mispriced characteristics. Our approach helps forecast returns to portfolios based on book-to-market, size, price, distress, payout policy, profitability, and industry. Our results provide a new perspective on equity market timing more generally.
Subjects
Series Statement
- Working paper / Harvard Business School -- 09-099
Reader Reviews
No reviews yet for this book.
Be the first to share your thoughts!