This paper examines the market’s reaction to news of corporate mergers and acquisitions (M&A) by Japanese bidders during the 1990s. Domestic versus global bids and pro-M&A legislation are considered as determinants of bidders’ abnormal returns. The results show that bidders for domestic targets earn significant abnormal returns after the institutions of pro-M&A legislation in Japan. These findi...

Abstract This paper highlights the adverse consequences of sluggish credit rating updates in creating information efficiency distortions and investment anomalies. We first document significant default swap (CDS) return momentum yielding 7.1% per year. further show that cross-market strategies based on past CDS performance generates an alpha 10.3% year stocks 7.3% bonds. These effects are strong...

Heavy share buyback years after the global finance crisis 2008–2009 drew criticism from scholars and financial press that repurchases were being used by firms to manipulate their stock prices. This paper examines whether a greater firm’s repurchase intensity distorts prices reflecting information. We analyse 2 sets of unbalanced panel data contain sample 337 US another 167 Malaysian repurchasin...

Abstract This paper explores the impact of product market competition on positive relation between labor mobility (LM) and future returns. We develop a production-based model formalize intuition that low exposure to systematic risk in concentrated industry limits LM’s amplifying effect operating leverage. Therefore, predicts stronger LM expected returns for firms competitive industries. Consist...

Competition among stock exchanges has increased dramatically over the last decade. To attract trading volume, most exchanges introduced makertaker fees, an incentive scheme that rewards liquidity suppliers and charges liquidity demanders. Using a change in fees on the Toronto Stock Exchange, we analyze how the breakdown of trading fees between liquidity demanders and suppliers affects market ou...

Prediction Markets for Economic Forecasting Prediction markets – markets used to forecast future events – have been used to accurately forecast the outcome of political contests, sporting events, and, occasionally, economic outcomes. This chapter summarizes the latest research on prediction markets in order to further their utilization by economic forecasters. We show that prediction markets ha...

This paper investigates whether the degree of predictability can be explained by existing asset pricing models, and provides two theoretical upper bounds on the R-square of the regression of stock returns on predictors for given classes of models of interest. Empirically, we find that the predictive R-square is significantly larger than the upper bounds permitted by well known asset pricing mod...

We investigate whether stock betas vary with the release of firm-specific news. Using daily firm-level betas estimated from intraday prices, we find that betas increase on earnings announcement days and revert to their average levels two to five days later. The increase in betas is greater for earnings announcements that have larger positive or negative surprises, convey more information about ...

Fama and French [2002. The equity premium. Journal of Finance 57, 637–659] estimate the equity premium using dividend growth rates to measure expected rates of capital gain. We apply their method to study the value premium. From 1945 to 2005, the expected value premium is on average 6.1% per annum, consisting of an expected dividend growth component of 4.4% and an expected dividend price ratio ...

We conducted an experiment to explore the time-consistency of risk preferences in a multi-period betting game. Specifically, subjects planned their contingent betting decisions in advance then played the game dynamically later to determine whether their respective decisions matched. We found that subjects took more risk than planned in their initial bet and after losses. In addition, this incre...