Linkage between company scores and stock returns

Inflexibility and Stock Returns

Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms’ risk and expected return. In a neoclassical model of a firm with costly scale adjustment options, we show that the effect of scale flexibility (i.e., contraction and expansion options) is to determine the relation between risk and operating leverage: risk increases with operating leverage f...

Demographics , Stock Market Flows , and Stock Returns ∗

This paper studies the link between population age structure, net outflows (dividends plus repurchases less net issues) from the stock market, and stock market returns in an overlapping generations framework. I find support for the traditional lifecycle models — the outflows from the stock market are positively correlated with the changes in the fraction of old people (65 and over) and negative...

Internet Stock Message Boards and Stock Returns

During 1999-2001 more than 35 million messages about public firms were posted on Yahoo! Finance. This paper examines whether stocks with high posting levels also have unusual subsequent returns and/or risk. They do. Stocks with the highest level of posting have unusually high realized volatility and unusually poor subsequent returns. This remains true after accounting for the effects of the mar...

The Q-Theoretical Link Between Stock and Investment Returns

Investment-based asset pricing uses the link between stock and investment returns to tie expected returns with firm characteristics. I derive the equivalence between these two returns in the Q-framework with variable capacity utilization, proportional operating costs, irreversible investment, and dividend constraints. With multiple capital goods, stock return is the value-weighted average of in...

Exploring relation between Indian market sentiments and stock market returns