Characteristic timing / Robin Greenwood, Samuel Hanson.

Greenwood, Robin (Robin Marc)
Bib ID
vtls001050027
出版項
Cambridge, Mass. : National Bureau of Economic Research, c2010.
稽核項
55 p. : ill. ; 22 cm.
電子版
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00002257257
總館1樓罕用
HB 1.N37 n.15948
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$a Characteristic timing / $c Robin Greenwood, Samuel Hanson.
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$a Cambridge, Mass. : $b National Bureau of Economic Research, $c c2010.
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$a 55 p. : $b ill. ; $c 22 cm.
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$a NBER working paper series ; $v no. 15948
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$a "April 2010"
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$a Includes bibliographical references (p. 38-41).
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$a We use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related stock returns. For example, we show that large firms underperform following years when issuing firms are large relative to repurchasing firms. Our approach is useful for forecasting returns to portfolios based on book-to-market (HML), size (SMB), price, distress, payout policy, profitability, and industry. We consider interpretations of these results based on both time-varying risk premia and mispricing. Our results are primarily consistent with the view that firms issue and repurchase shares to exploit time-varying characteristic mispricing.
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$a Also available online
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$a Stocks $x Prices $x Econometric models.
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$a Hanson, Samuel $q (Samuel Gregory)
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$a National Bureau of Economic Research.
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$a Working paper series (National Bureau of Economic Research) ; $v no. 15948.
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$a NBER working paper series ; $v no. 15948
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叢書名
NBER working paper series ; no. 15948
Working paper series (National Bureau of Economic Research) ; no. 15948.
NBER working paper series ; no. 15948
標題
摘要
We use differences between the attributes of stock issuers and repurchasers to forecast characteristic-related stock returns. For example, we show that large firms underperform following years when issuing firms are large relative to repurchasing firms. Our approach is useful for forecasting returns to portfolios based on book-to-market (HML), size (SMB), price, distress, payout policy, profitability, and industry. We consider interpretations of these results based on both time-varying risk premia and mispricing. Our results are primarily consistent with the view that firms issue and repurchase shares to exploit time-varying characteristic mispricing.
附註
"April 2010"
Includes bibliographical references (p. 38-41).
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