Nntakeovers and the cross section of returns pdf files

Day of the week and the crosssection of returns ckgsb. The crosssection of expected stock returns critical finance. Cash flow, consumption risk, and the crosssection of stock returns. Takeovers and the crosssection of returns request pdf. A study of how anomalies accrue over the day provides a useful perspective to assess their determinants. Asset growth and the crosssection of stock returns krannert. I link an assets risk premium to two characteristics of its underlying cash f low. Fundamental analysis and the cross section of stock returns. Fundamentally di erent factors drive an anomaly that earns returns solely between 2 p. Nonlinear pricing kernels, kurtosis preference, and. Media coverage and the crosssection of stock returns.

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. Confidencenn inin thedt poundnn isvbz widelyrb expectedvbn toto takevb anotherdt sharpjj divenn ifin tradenn figuresnns forin septembernnp, duejj forin relea. Since the capm is empirically not successful in explaining the stock returns completely, there are other models, such as the famafrench 3 factormodel. News sensitivity and the crosssection of stock returns zurich open.

This procedure generates a time series of portfolio returns. The dynamics of factor loadings in the crosssection of. 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. The differences between the split file results and the standard full sample. This paper considers the impact of the takeover likelihood on firm valuation. Cremers is from the international center for finance at the yale school of management. In particular, we use the monthly and daily stock data from crsp stocksecurity files. Machine learning and the crosssection of expected 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. Further, the nonlinearities in the pricing kernel drive out the importance of the factors in the linear multifactor model. 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. Asset growth and the crosssection of stock returns 1611 returns up to 5 years beyond the sorting year. Daniel da vid hirshleifer av anidhar subrahman y am w e thank. Media coverage and the crosssection of stock returns article in the journal of finance 645. 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. Growing evidence identifies biases in the markets capitalization of. 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. The history of the cross section of stock returns jacobs levy. 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. This paper studies the crosssectional properties of return fore casts derived from. July 27, 2000 commen ts w elcome co v ariance risk, mispricing, and the cross section of securit y returns ken t d.