Related papers: Quantitative earnings enhancement from share buyba…
The study focuses on the Impact of Employment Benefit Cots on the Profitability of Companies listed in the National Stock Exchange. The study has considered the Amount spent on Employment Benefit Cots as an Independent variable and Profit…
We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller than their asymptotic value as observed…
This thesis investigates share buybacks, specifically share buyback announcements. It addresses how to recognize such announcements, the excess return of share buybacks, and the prediction of returns after a share buyback announcement. We…
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving option…
Toehold purchase, defined here as purchase of one share in a firm by an investor preparing a tender offer to acquire majority of shares in it, reduces by one the number of shares this investor needs for majority. In the paper we construct…
We generalize the classic Shiller cyclically adjusted price-earnings ratio (CAPE) used for prediction of future total returns of the stock market. We treat earnings growth as exogenous. The difference between log wealth and log earnings is…
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. Taking inspiration from the interpretation of the traditional…
In recent decades, companies have frequently adopted share repurchase programs to return capital to shareholders or for other strategic purposes, instructing investment banks to rapidly buy back shares on their behalf. When the executing…
The study focuses on the Impact of Environmental Accounting on the Profitability of Companies listed on the Bombay Stock Exchange. The study has considered the Amount spent on Environmental protection as an Independent variable and Return…
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a…
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the equally-weighted portfolio, the entropy-weighted portfolio,…
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to…
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is…
We investigate the impact of big winner stocks on the performance of active and passive investment strategies using a combination of numerical and analytical techniques. Our analysis is based on historical stock price data from 2006 to 2021…
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration…
We study the effects of data sharing between firms on prices, profits, and consumer welfare. Although indiscriminate sharing of consumer data decreases firm profits due to the subsequent increase in competition, selective sharing can be…
The price multiplier effect provides precious insight into the behavior of investors during episodes of speculative trading. It tells us that the higher the price of an asset is (within a set of similar assets) the more its price is likely…
We delve into the intricate world of share buy-backs, a strategic corporate capital allocation tool that has gained significant prominence over the past few decades. Despite being the subject of extensive research and debate, the execution…
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources.…
We analyse the effect of a proportional wealth tax on asset returns, portfolio choice, and asset pricing. The tax is levied annually on the market value of all holdings at a uniform rate. We show that such a tax is economically equivalent…