We examine the relationship between CEO ownership and stock market performance. Firms in which the CEO voluntarily holds a considerable share of outstanding stocks outperform the market by more than 10 percent p.a. after controlling for traditional risk factors. The effect is most pronounced in firms that are characterized by large managerial discretion of the CEO. The abnormal returns we docum...

this paper investigates the nature of volatility characteristics of stock returns in the bangladesh stock markets employing daily all share price index return data of dhaka stock exchange (dse) and chittagong stock exchange (cse) from 02 january 1993 to 27 january 2013 and 01 january 2004 to 20 august 2015 respectively.  furthermore, the study explores the adequate volatility model for the stoc...

It is a common wisdom that individual stocks’ returns are difficult to predict, though in many situations it is important to have such estimates at our disposal. In particular, they are needed to determine the cost of capital. Market equilibrium models posit that expected returns are proportional to the sensitivities to systematic risk factors. Fama and French (1993) three-factor model explains...

This paper analyzes the return sensitivities of real estate value and growth stocks to changes in five different interest rate proxies. Using a global sample 352 listed companies from 12 countries as test object, we find that are more sensitive than short-term rate. finding is consistent with theory investors shorter investment horizons trade off high initial yield against lower-risk rates. In ...

In this paper we consider the measurement and pricing of distress risk. We present a model of corporate failure in which accounting and market-based measures forecast the likelihood of future …nancial distress. Our best model is more accurate than leading alternative measures of corporate failure risk. We then use our measure of …nancial distress to examine the performance of distressed stocks ...

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 1998 Survey of Consumer Finance data shows that only 48.8 percent of U.S. households owned stocks, either (i) directly or (ii) indirectly through mutual funds. In addition, there is a close relationship between shareholding and wealth. In 1998, 93 percent of the richest 1 percent of the population owned stocks; the richest 10 percent owned 85 percent of total stocks and mutual funds, compar...