[PDF] Top 20 A Financing Based Misvaluation Factor and the Cross Section of Expected Returns
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A Financing Based Misvaluation Factor and the Cross Section of Expected Returns
... external financing (EXFIN) as in Bradshaw, Richardson, and Sloan (2006), net composite issuance (IR) as in Daniel and Titman (2006), the investment-asset ratio (IVA) as in Lyandres, Sun, and Zhang (2008), net ... See full document
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Two essays on the predictability of asset prices: "Benchmarking problems and long horizon abnormal returns" and, "Low R square in the cross section of expected returns"
... abnormal returns" and, "Low R-square in the cross section of expected ...abnormal returns following Initial Public Offerings (IPOs), Seasoned Equity Offers (SEO) and other firm ... See full document
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Accounting Data, Market Values, and the Cross Section of Expected Returns Worldwide
... firm-level expected returns ...of returns in the United States do not necessarily explain the cross section of returns in other markets internationally (Fama and French, 2012; ... See full document
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An empirical cross-section analysis of stock returns on the Chinese A-share stock market
... high returns could be caused by the January effect and that the relationship between the size factor and expected returns was significantly ...asset expected return interval since the ... See full document
10
Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India
... portfolio returns and the median value-weighted average stock ...and cross-section of stocks returns while the studies of ...and cross-section of stock ...between ... See full document
12
Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?
... nominal returns (M1) implies that the CRRA is constant and should be the same across the cross-section of expected returns for no arbitrage opportunities in the ...of returns ... See full document
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An investigation into the cross sectional determinants of expected stock returns in the London Stock Exchange
... earned returns greater than the average ...of expected return that is in fact compensation for risk variables omitted from the ...average returns and E/P is due to the influence of E/P, or whether ... See full document
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Endogenous technological progress and the cross section of stock returns
... the cross section of stock ...raises expected marginal bene…t of physical capital and reduces the marginal cost of physical investment, causing expected returns in physical investment ... See full document
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Cross Sectional Dispersion of Firm Valuations and Expected Stock Returns
... excess returns of beta (BETA) and volatility (VOL) quintiles on the lagged CVD, with and without controls for the return comovement with a set of well-known common factors, including market excess returns ... See full document
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Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns
... momentum factor, the investment factor, or the leverage factor slightly reduces the pricing errors of one or two corner portfolios, but the F -statistics that test whether all alphas are jointly ... See full document
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The Cross Section of Stock Returns: An Application of Fama French Approach to Nepal
... The study by Daniel, Titman and Wei [26] highlights the need to examine the external validity of the accu- mulating and controversial U.S.-based research. Several key features of the Fama and French [1] U.S. ... See full document
9
Expected Stock Returns and Option Implied Rate of Return
... by factor-based pricing models in a Bayesian ...models based on CAPM and the Fama-French three-fac- tor ...the cross section of future stock ... See full document
11
Equations for the Flexural Vibration of a Sample with a Uniform Cross-Section
... velocity of the longitudinal wave propagation in the sample), i z = J S / is the radius of gyration of the cross-section. Eq. (4) describes the vibrational mo- tion of the sample with a sufficient exactness ... See full document
5
Reexamination of Whether Accrual Quality Is a Price Factor
... discussions based on this dataset in Petersen (2009) justify our ...excess returns on the betas of the factors obtained from the first pass of Fama-MacBeth procedure with firm fixed effects, denoted ... See full document
15
The CDS bond basis arbitrage and the cross section of corporate bond returns
... risk factor, and PS is the Pastor-Stambaugh (2003) bond market liquidity risk ...equity returns, VIX is the average of S&P500 option ...measured based on returns are computed using the ... See full document
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Industry Concentration and the Cross section of Stock Returns: Evidence from the UK
... mean returns on firm level are decreasing across concentration ...mean returns on firm level for both (Quintile 1) and (Quintile 2) are positive ...mean returns for Quintiles 3, 4, and 5 are negative ... See full document
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Growth in a Cross Section of Cities: Location, Increasing Returns or Random Growth?
... The first theory is supported by the theoretical models of the New Economic Geography (NEG). These models often display nonlinear behaviours and multiple equilibria as a consequence of their basic assumptions (mobile ... See full document
37
Analytical tracing of the evolution of the elasto-plastic state during the bending of beams with a rectangular cross-section
... stressed cross-section becomes fully plastified, and the stru ctu re, the problem being a statically determinate one, transforms into a mechanism due to the occurrence o f a plastic ... See full document
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Graat, Julien, de (2012): Search for supersymmetry in multilepton events with the ATLAS detector. Dissertation, LMU München: Fakultät für Physik
... last section, the fake rates for the present analysis are determined from MC simulated ...last section and concerns the non-universality of fake rates of heavy flavour leptons across different ... See full document
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Asymmetric Loss Functions and the Rationality of Expected Stock Returns
... market returns by close to ...realized returns are on average around 10% higher than return forecasts in these ...500 returns for some forecast horizons during ... See full document
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