Leverage, Volatile Future Earnings Growth and Expected Stock Returns

We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage and, because the market for earnings is incomplete, reduces the earnings-risk sensitivity of the default option. Ceteris paribus, a levered firm with low (high) earnings growth is more sensitive to the first (second) of these effects thus generating higher (lower) expected returns. We demonstrate this by modeling equity as an Asian-style call option on net earnings and find significant empirical support for our hypotheses.

Accounting Earnings Announcements, Institutional Investor Concentration, and Common Stock Returns

[Excerpt] This study examines the relation between the level of institutional investor ownership and the magnitude of security price variability at quarterly earnings announcement dates. Prior research consistently documents a negative association between firm size and announcement-date return variability. One explanation for this finding is that as more timely, alternative information becomes available on large firms prior to an announcement date, their security prices become informative, thereby reducing the information content of the earnings announcement. Large firms are closely followed by institutional investors. These investors dedicate substantial resources to information search. Therefore, the link between size and information production may be attributable to the influence of institutional investors on the information production process. Because institutional trades can also affect security prices, however, the precise impact of institutional following on the variability of prices at quarterly earnings dates is not evident.

Tender offers in South America: Are abnormal returns really high?

Diferentes estudios realizados en mercados de capital desarrollados han revelado tasas de retorno positivas inusuales de por lo menos 15% durante la fecha de anuncio de la oferta pública de adquisición de acciones. Aunque casi no se han llevado a cabo estudios sobre los mercados bursátiles en Sudamérica, algunos estudios han reportado tasas de retorno positivas inusuales en un rango del 25% al 50%, las cuales están relacionadas con el anuncio de la primera oferta de adquisición. En el presente estudio, se argumenta que las tasas de retorno positivas inusuales estimadas en los mercados emergentes son altas porque los estudios se han basado en un mercado de capitales totalmente segmentado aplicando el modelo de mercado y utilizando un índice del mercado bursátil local. Al considerar la integración parcial entre los cinco mercados emergentes en Sudamérica, se demuestra que efectivamente existen tasas de retorno positivas inusuales antes, durante y después de la fecha de anuncio de la primera oferta de adquisición. Sin embargo, el retorno positivo inusual asociado a la fecha del anuncio se encuentra en el orden del 8%. Utilizando un modelo de mercado que considere la integración parcial y el riesgo a la baja, se obtiene una tasa de retorno inusual ligeramente mayor. Estos resultados señalan una menor tasa de retorno positiva inusual en la muestra de las empresas sudamericanas incluidas en el estudio.

Returns to shareholder activism: Evidence from a clinical study of the hermes UK focus fund

This article reports a unique analysis of private engagements by an activist fund. It is based on data made available to us by Hermes, the fund manager owned by the British Telecom Pension Scheme, on engagements with management in companies targeted by its UK Focus Fund. In contrast with most previous studies of activism, we report that the fund executes shareholder activism predominantly through private interventions that would be unobservable in studies purely relying on public information. The fund substantially outperforms benchmarks and we estimate that abnormal returns are largely associated with engagements rather than stock picking. © The Author 2008.

Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting

unpublished

Effect of Cocoa ( Theobroma cacao ) Plantation Types on the Distribution of Anuran Communities in Ore, Ondo State, Nigeria

Anuran species diversity and abundance were evaluated in different farming status of cocoa plantation in Ore, Ondo State, Nigeria. Applying the combination of visual encounter survey (VES) and acoustical survey (AES), the different farms surveyed were categorized as; 1) pure cocoa farms with pesticides applied (PCWP); 2) pure cocoa farms without pesticides application; 3) intercropped cocoa farms with pesticides applied (ICWP); and 4) intercropped cocoa farms without pesticides application (ICNP). The surrounding primary/secondary forest (PSFV) was sampled applying the transect method. A mean total of 690±2.6 anurans belonging to 28 species, 14 genera and 9 families were recorded during the study. Out of these, 10, 19, 17, 22 and 26 species were recorded respectively from PCWP, PCNP, ICWP, ICNP and PSFV. The anuran species richness was significantly different between the different cocoa plantation status and the forest sites (F4, 10 = 20.55, P< 0.01). The highest mean number of individuals (190±9.5) was observed at ICNP followed by PSFV (183±5.7), while the least was at PCWP (77±8.0). There was also significant difference (F4, 10 = 150.48, P< 0.01) between the abundance of anuran species at the various sites. Diversity indices (Shannon and Margalef) showed that the forest sites had the greatest (3.204 and 4.799) respectively while the pesticide using pure cocoa farms had the least (1.853 and 2.072). Generally, the result of the study clearly indicated that pesticide use cocoa farms were significantly lower compared to other sites. Farmers are encouraged to engage in intercropping (polyculture) especially with food and economic crops in a biodiversity friendly manner which could have similar characteristics of a natural ecosystem, thereby enhancing the biological diversity of agro-ecosystems.

A holistic attempt to predicating excess aftermarket returns of IPOs over a 90-day period post IPO

Double Degree

Economic growth and public and private investment returns

We study the macroeconomic effects of public and private investment in 17 OECD economies through a VAR analysis with annual data from 1960 to 2014. From impulse response functions we find that public investment had a positive growth effect in most countries, and a contractionary effect in Finland, UK, Sweden, Japan, and Canada. Public investment led to private investment crowding out in Belgium, Ireland, Finland, Canada, Sweden, the UK and crowding-in effects in the rest of the countries. Private investment has a positive growth effect in all countries; crowds-out (crowds-in) public investment in Belgium and Sweden (in the rest of the countries). The partial rates of return of public and private investment are mostly positive.

Size anomalies in EU bank stock returns

Mestrado em Finanças

Reviewing the hedge funds literature II:hedge funds' returns and risk management characteristics

This paper summarizes the literature on hedge funds (HFs) developed over the last two decades, particularly that which relates to risk management characteristics (a companion piece investigates the managerial characteristics of HFs). It discusses the successes and the shortfalls to date in developing more sophisticated risk management frameworks and tools to measure and monitor HF risks, and the empirical evidence on the role of the HFs and their investment behaviour and risk management practices on the stability of the financial system. It also classifies the HF literature considering the most recent contributions and, particularly, the regulatory developments after the 2007 financial crisis.

Recent advances in explaining hedge fund returns:implicit factors and exposures

We survey articles covering how hedge fund returns are explained, using largely non-linear multifactor models that examine the non-linear pay-offs and exposures of hedge funds. We provide an integrated view of the implicit factor and statistical factor models that are largely able to explain the hedge fund return-generating process. We present their evolution through time by discussing pioneering studies that made a significant contribution to knowledge, and also recent innovative studies that examine hedge fund exposures using advanced econometric methods. This is the first review that analyzes very recent studies that explain a large part of hedge fund variation. We conclude by presenting some gaps for future research.

Do “The Best Companies to Work” have higher Stock returns?

Do “The Best Companies to Work” have Higher Stock Returns? The main purpose of this work is to prove the link between job satisfaction and the firm’s value. The «Best Companies to Work» list give us our measure for job satisfaction. The sample of this work is composed by firms listed in STOXX Europe 600 Index. We compared the monthly returns of a portfolio composed by firms present in the «Best Companies to Work» list with two other benchmark portfolios, using the four-factor model proposed by Carhart (1997), from January 2010 to December 2014. Our results show that the BCWE600 portfolio outperforms both benchmark portfolios. In other words, companies classified as Best Companies to Work generated 0.40%/month and 4.94%/year higher stock returns than their peers over the 2010-2014 period. Also, the market risk in portfolio BCWE600 is inferior compared to other portfolios. This work shows that firms with the most satisfied workers get better results, resulting in higher returns for it’s shareholders.

Reputation and stock abnormal returns

A relação entre reputação organizacional e desempenho nanceiro das empresas tem sido alvo de estudo ao longo dos últimos anos. Empresas com elevados padrões de reputação apresentam maior probabilidade de manter um elevado e sustentado desempenho ao longo do tempo. Seguindo esta linha de pensamento, acionistas que investem em empresas com elevada reputação exigem menos rendibilidades, uma vez que, à partida, o risco a que estão sujeitos é menor. Com o intuito de estudar se empresas com elevada reputação, medida pela presença no ranking de 2015 World's Most Admired Companies da revista Fortune, rejeitam a hipótese das rendibilidades anormais serem iguais a zero, garantindo, por sua vez, um risco inferior, foram utilizados dados em painel que incluem 24,486 observações, entre 26 de dezembro 2014 e 1 de janeiro 2016, de uma amostra total de 462 empresas norte americanas cotadas nos índices bolsistas NYSE e NASDAQ.

Efficacy and economic returns from various insecticide combinations applied for tobacco budworm control in the Brazos River Valley.

A field efficacy evaluation revealed significant differences in efficacy among a few of the numerous insecticides or combinations of insecticides applied for Heliothis spp. control. An increasing proportion of made up this field population during the test period. Partial budgeting revealed that the net returns from applying any treatment were directly proportional to the resulting yield obtained from that treatment.

Biological nitrogen fixation and nutrient release from litter of the guachapele leguminous tree under pure and mixed plantation with eucalyptus.

A Pseudosamanea guachapele (guachapele), leguminosa arbórea fixadora de nitrogênio, é uma alternativa para plantios florestais mistos nos trópicos. Como são escassas as informações sobre a espécie em plantios mistos de eucalipto em condições edafoclimáticas brasileiras, foi conduzido um experimento no qual objetivou-se avaliar a contribuição da fixação biológica de nitrogênio para a guachapele e a velocidade de decomposição e de liberação de nutrientes de folhas senescentes de eucalipto e guachapele (oriundas dos plantios puros e consorciado). A porcentagem de N derivado da atmosfera (% Ndfa) foi estimada comparando-se a abundância natural de 15N ( 15N, ) nos tecidos da guachapele com a observada nos tecidos do Eucalyptus grandis, espécie não fixadora, ambas com sete anos de idade. A constante de decomposição (k) e a meia-vida (t1/2) de serapilheira foram estimadas utilizando-se o modelo exponencial aplicado aos dados oriundos de coletas de litterbags. A estimativa da %Ndfa para guachapele, em condições de plantio puro, variou de 17 a 36%, enquanto que, em condições de plantio consorciado, foi de 35 a 60 %. A concentração de N nas folhas senescentes estava positivamente relacionada com a taxa de decomposição, sendo essa decrescente da guachapele para o eucalipto. A t1/2 dos resíduos diferiu significativamente (p < 0.05), sendo de 148, 185 e 218 dias para as folhas de guachapele, mistura das duas espécies e eucalipto, respectivamente. A liberação dos nutrientes (principalmente N, K e Mg) das folhas seguiu a mesma ordem da t1/2 devido à qualidade inicial das mesmas. Os resultados indicam que a guachapele pode beneficiar o plantio misto pela adição de N e por meio da intensificação da decomposição da serapilheira.