Information Efficiency and Firm-Specific Return Variation

Firm Specific Risk and Return: Quantile Regression Application

The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is used. To this aim, a sample of 270 firms listed in Tehran Stock Exchange during 1999-2010 was i...

Target Firm-Specific Information and Acquisition Efficiency

Firm-Specific Information and the Efficiency of Investment

We use a new firm-level dataset to examine the efficiency of investment in emerging economies. In the three-year period following stock market liberalizations, the growth rate of the typical firm’s capital stock exceeds its pre-liberalization mean by an average of 5.4 percentage points. Cross-sectional changes in investment are significantly correlated with the signals about fundamentals embedd...

Firm-Specific Variation and Capital Openness

* Doctoral Student, The University of Alberta Business School, Edmonton, Canada T6G 2R6. Tel: (780) 492-5435. Fax: (780) 492-3325. E-mail: [email protected]. ** Stephen A. Jarislowsky Distinguished Professor of Finance, School of Business, University of Alberta, Edmonton, Alberta, Canada, T6G 2R6. Tel: (780) 492-5683. Fax: (780) 492 3325. E-mail [email protected]; Research Associate, Nati...

Stock Based Compensation: Firm-specific risk, Efficiency and Incentives

We propose a continuous time utility maximization model to value stock and option compensation from the executive's perspective. We allow the executive to invest non-option wealth in the market and riskless asset but not in the company stock itself. This enables executives to adjust exposure to market risk, but they are subject to firm-specific risk for incentive purposes. Since the executive i...