ABSTRACT We test for firm‐level asset investment effects in returns by examining the cross‐sectional relation between firm growth and subsequent stock returns. Asset rates are strong predictors of future abnormal retains its forecasting ability even on large capitalization stocks. When we compare with previously documented determinants cross‐section (i.e., book‐to‐market ratios, capitalization, lagged returns, accruals, other measures), find that a firm's annual rate emerges as an...

ABSTRACT We test overreaction theories of short‐run momentum and long‐run reversal in the cross section stock returns. Momentum profits depend on state market, as predicted. From 1929 to 1995, mean monthly profit following positive market returns is 0.93%, whereas negative −0.37%. The up‐market reverses long‐run. Our results are robust conditioning information macroeconomic factors. Moreover, we find that factors unable explain after simple methodological adjustments take account...

ABSTRACT We develop a new and comprehensive database of firm‐level contributions to U.S. political campaigns from 1979 2004. construct variables that measure the extent firm support for candidates. find these measures are positively significantly correlated with cross‐section future returns. The effect is strongest firms greater number candidates hold office in same state based. In addition, there stronger effects whose slanted toward House Democrats.

ABSTRACT We document a striking positive stock price reaction to the announcement of corporate name changes Internet‐related dotcom names. This “dotcom” effect produces cumulative abnormal returns on order 74 percent for 10 days surrounding day. The does not appear be transitory; there is no evidence postannouncement negative drift. day also similar across all firms, regardless firm's level involvement with Internet. A mere association Internet seems enough provide firm large and permanent...

ABSTRACT We examine whether mutual funds change their names to take advantage of current hot investment styles, and what effects these name changes have on inflows the funds, funds' subsequent returns. find that year after a fund its reflect style, experiences an average cumulative abnormal flow 28%, with no improvement in performance. The increase flows is similar across whose holdings match style implied by new those do not, suggesting investors are irrationally influenced cosmetic effects.

Journal Article Filter Rules Based on Price and Volume in Individual Security Overreaction Get access Michael Cooper Krannert School of Management Address correspondence to Cooper, Management, 1310 Building, West Lafayette, IN 47907, or email: mcooper@mgmt.purdue.edu. Search for other works by this author on: Oxford Academic Google Scholar The Review Financial Studies, 12, Issue 4, 2 July 1999, Pages 901–935, https://doi.org/10.1093/rfs/12.4.901 Published: 01 June 2015

We test for firm-level asset investment effects in returns by examining the cross-sectional relation between firm growth and subsequent stock returns. As a variable, we use year-on-year percentage change total assets. Asset rates are strong predictors of future abnormal retains its forecasting ability even on large capitalization stocks, subgroup firms which other documented cross-section lose much their predictive ability. When compare with previously determinants (i.e., book-to-market...

We test overreaction theories of short-run momentum and long-run reversal in the cross section stock returns. Momentum profits depend on state market, as predicted. From 1929 to 1995, mean monthly profit following positive market returns is 0.93 percent, whereas negative 0.37 percent. The up-market reverses long-run. Our results are robust conditioning information macroeconomic factors. Moreover, we find that factors unable explain after simple methodological adjustments take account...

We use transaction-level data and decompose the US equity premium into day (open to close) night (close open) returns. document striking result that over last decade is solely due overnight returns; returns during are strongly positive, close zero sometimes negative. This effect holds for individual stocks, indexes, futures contracts on indexes robust across NYSE Nasdaq exchanges. Night consistently higher than days of week, month, months year. The driven in part by high opening prices which...

We propose that fitted values from market-wide regressions of firm returns on lagged characteristics provide useful benchmarks for assessing whether average to certain stocks are abnormal. To illustrate, we study eight documented events with abnormal returns, including credit rating and analyst recommendation downgrades, initial seasoned public equity offerings, mergers acquisitions, dividend initiations, share repurchases, stock splits. show the apparently in months after these...

Abstract Previous work shows large differences in fees for S&P 500 index funds and other suggests that investors suffer wealth losses investing high-fee when similar low-fee are available. In contrast, the neoclassical model of mutual (Berk van Binsbergen, 2015, J. Financ. Econ., 118, 1–20) argues percentage irrelevant, as fund size will adjust equilibrium such net alphas equal to zero. We show matter from an investor perspective. document (i) a strong negative association between...

Abstract The fragility of the CAPM has led to a resurgence research that frequently uses trading strategies based on sorting procedures uncover relations between firm characteristics (such as “value” or “glamour”) and equity returns. We examine propensity these generate statistically economically significant profits due our familiarity with data. Under plausible assumptions, data snooping can account for up 50 percent in‐sample returns uncovered using single (one‐way) sorts. biases be much...

We develop a new and comprehensive database of firm-level contributions to U.S. political campaigns from 1979 2004. construct variables that measure the extent firm support for candidates. find these measures are positively significantly correlated with cross-section future returns. The effect is strongest firms greater number candidates which hold office in same state based. In addition, there stronger effects whose slanted toward House Overall, our results consistent being rewarded...

Measures of Chief Executive Officer (CEO) excess compensation are negatively related to future firm returns and operating performance. The effect is stronger for more overconfident CEOs at firms with weaker corporate governance. Overconfident receiving high pay undertake activities such as overinvestment value-destroying mergers acquisitions that lead shareholder wealth losses.

Abstract We introduce and test a firm-level innovation-efficiency measure new to the finance literature. The measure, termed research quotient (RQ), defined as firm-specific output elasticity of development (R&D), was first developed in management RQ has low correlation with existing innovation input, output, efficiency measures. number tests common literature find that is robust all firm value, even after controlling for previous results suggest may serve relevant complementary...

Researchers have documented an abundance of evidence that stock returns are predictable ex post facto. In this study, we address the ante predictability cross section by investigating whether a real‐time investor could used book‐to‐market equity, firm size, and one‐year lagged to generate portfolio profits during 1974–97 period. We develop variations on common recursive out‐of‐sample methods demonstrate marked difference between predictability, suggesting current notion in literature is exaggerated.

We show that out‐of‐sample tests used in the time‐series predictability literature may suffer from test size problems related to common practice of exogenous specification critical parameters, such as choice predictive variables, traded assets, and in‐sample estimation periods. perform searches across these parameters find rejections null hypothesis no are very sensitive minor variations parameter specification. simulations determine if observed data is real. The suggest much literature’s...

We document a striking positive stock price reaction to the announcement of corporate name changes Internet related dotcom names. This "dotcom" effect produces cumulative abnormal returns on order 74% for ten days surrounding day. The does not appear be transitory; there is no evidence post negative drift. day also similar across all firms, regardless firm?s level involvement with Internet. A mere association seems enough provide firm large and permanent value increase.

We investigate the effects of conditional name changes in mutual fund industry. Specifically, we examine whether funds change their names to take advantage current hot investment styles, and what these have on flows out funds, funds' subsequent returns. find that tend occur waves; be associated with high return style or disassociate themselves from low styles. The year before a its reflect moves away cold style, experiences an average excess outflow approximately -5%. after change, earn...