Abstract. This chapter explores the stock price impact of expirations of lock-up provisions that prevent insiders from selling their shares after the Initial Public Offering (IPO). I examine 172 lock-up expirations of 142 IPOs floated on Germany’s Neuer Markt. I detect significant negative abnormal returns and a twenty-five percent increase in trading volume surrounding lock-up expiration. The ...

In financial markets not only returns, but also waiting times between consecutive trades are random variables and it is possible to apply continuoustime random walks (CTRWs) as phenomenological models of high-frequency prices. Based on these considerations, in this extended abstract, some results are outlined which can be useful for speculative option valuation. 1 The basic mapping onto continu...

This paper studies the role of ‡uctuations in the aggregate price-earning ratio at di¤erent time scales for predicting stock returns and explore the channels through which returns are predicted. Using U.S. quarterly and international monthly data, we …nd that cycles in the price-earning ratio are strong and better predictors of future returns at short and intermediate horizons than the aggregat...

Market impact is the change in price due to initiating a trade. In this paper we develop a new theory for average market impact based on properties of order flow, efficiency of price returns and other empirically testable assumptions. Our approach differs from previous efforts in that our results do not depend on assumptions about the functional form of utility or other ad hoc assumptions. We a...

Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been proposed, but such estimators are found to be strongly biased as compared to volatilities of daily returns. This bias originates from microstructure effect...

We investigate the ability of a tax-based fundamental—the ratio of taxto-book income—to predict earnings growth and stock returns and to explain the earnings-price ratio. This tax fundamental reflects both temporary and permanent book-tax differences as well as tax accruals, such as changes in the tax valuation allowance. We find that the tax-to-book income ratio predicts subsequent five-year e...

Predictability of the return on the market portfolio is a well established fact. This study shows that predictability is a more general phenomenon and it extends to return indices of the U.S. states. At the state level, the consumption trend deviation of Lettau and Ludvigson, and the collateral ratio of Lustig and Van Nieuwerburgh can predict short-term and long-term state-level returns. The st...

The market value of US Single Family Rental assets totals more than $2.3 trillion. We provide the first systematic analysis total returns to Rentals in a long, broad, and granular panel. Total are approximately equalized across cities at 8.5%, similar average equity returns. On average, net rental yields house price appreciation each contribute half However, they negatively correlated cross sect...