Nntakeovers and the cross section of returns pdf files

This paper considers the impact of the takeover likelihood on firm valuation. Media coverage and the crosssection of stock returns. Asset growth and the crosssection of stock returns 1611 returns up to 5 years beyond the sorting year. Media coverage and the crosssection of stock returns article in the journal of finance 645. I link an assets risk premium to two characteristics of its underlying cash f low. Takeovers and the crosssection of returns request pdf. Bm explain the crosssectional variation of average stock returns, and ii the. News sensitivity and the crosssection of stock returns zurich open.

Confidencenn inin thedt poundnn isvbz widelyrb expectedvbn toto takevb anotherdt sharpjj divenn ifin tradenn figuresnns forin septembernnp, duejj forin relea. This procedure generates a time series of portfolio returns. The differences between the split file results and the standard full sample. The search for factors that predict the crosssection of stock returns generates an abundant literature. In particular, we use the monthly and daily stock data from crsp stocksecurity files. Daniel da vid hirshleifer av anidhar subrahman y am w e thank. Nonlinear pricing kernels, kurtosis preference, and. A datamining approach xuemin sterling yan and lingling zheng abstract a key challenge to evaluate datamining bias in stock return anomalies is that we do not observe. Nair is from the wharton school at the university of pennsylvania. A study of how anomalies accrue over the day provides a useful perspective to assess their determinants. Cash flow, consumption risk, and the crosssection of stock returns. This paper studies the crosssectional properties of return fore casts derived from. Cross sectional analysis is a type of analysis that an investor, analyst or portfolio manager may conduct on a company in relation to that companys industry or industry peers.

The dynamics of factor loadings in the crosssection of. So for instance, if you look at the capm, thats a model that explains the cross section of stock returns with only one factor, the systematic risk of a stock. Cremers is from the international center for finance at the yale school of management. Crosssectional and timeseries tests of return predictability unil. This is done by estimating whether returns on positive, neutral and negative news days are significantly different from the average daily return for a large sample of. Fundamentally di erent factors drive an anomaly that earns returns solely between 2 p. To gauge the robustness of our results across firm capitalization levels, we repeat our analysis across three sizegrouped portfolios small, medium, and large defined annually using the 30 thand 70 nyse market equity percentiles in june of. Summary of asset growth and the crosssection of stock returns. The discount factor captures these two mentioned sources of variation through factors that are related to timevarying risk and to aggregate fun damentals. The crosssection of expected stock returns critical finance. Since the capm is empirically not successful in explaining the stock returns completely, there are other models, such as the famafrench 3 factormodel. What is cross section in cross section of stock return. The history of the cross section of stock returns jacobs levy.

Fundamental analysis and the cross section of stock returns. Growing evidence identifies biases in the markets capitalization of. The conference will take place at the gleacher center of the booth school of business at the university of chicago. July 27, 2000 commen ts w elcome co v ariance risk, mispricing, and the cross section of securit y returns ken t d. Fundamental analysis and the crosssection of stock. Machine learning and the crosssection of expected stock returns. If firms are more likely to acquire when there is more free cash or lower required rates of return, the targets become more sensitive to shocks to cash flows or the price of risk.

Further, the nonlinearities in the pricing kernel drive out the importance of the factors in the linear multifactor model. Day of the week and the crosssection of returns ckgsb. Asset growth and the crosssection of stock returns krannert. We use all nonfinancial firms in the intersection of a the nyse, amex, and nasdaq return files from the center for research in security prices.