Zobrazeno 1 - 10
of 24
pro vyhledávání: '"Gergana Jostova"'
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Review of Finance. 26:355-405
The distress anomaly reflects the abnormally low returns of high credit risk stocks during financial distress. Evidence from stocks and corporate bonds reinforces the anomaly and challenges rationales based on shareholders’ ability to extract value
Publikováno v:
Management Science. 66:5505-5531
Classifying mandatory 13F stockholding filings by manager type reveals that hedge fund strategies are mostly contrarian, and mutual fund strategies are largely trend following. The only institutional performers—the two thirds of hedge fund managers
Publikováno v:
SSRN Electronic Journal.
Social media has become a real part of Main Street and Wall Street. Social media risk is hard to diversify, since it is a catalyst for contagion, causing an issue to `go viral' and affect a wide cross-section of firms. We show that institutional and
Publikováno v:
SSRN Electronic Journal.
The distress anomaly reflects the abnormally low returns of high credit risk stocks during financial distress. Evidence from stocks and corporate bonds reinforces the anomaly and challenges rationales based on shareholders' ability to extract value f
Publikováno v:
SSRN Electronic Journal.
We document that stock lenders are informed about market conditions and pursue revenue maximization by setting premiums or offering discounts on stock lending fees. Using a model of supply and demand in the equity lending market, we illustrate the ef
Publikováno v:
SSRN Electronic Journal.
This paper shows that distressed stocks and bonds are overpriced during high sentiment periods. The correction of overpricing leads to a range of anomalous cross-sectional patterns in stock and bond returns. Including bonds as additional test assets
Publikováno v:
Journal of Financial Economics. 108:139-159
This paper explores commonalities across asset-pricing anomalies. In particular, we assess implications of financial distress for the profitability of anomaly-based trading strategies. Strategies based on price momentum, earnings momentum, credit ris
Publikováno v:
SSRN Electronic Journal.
Institutional 13F stockholdings reveal stark differences between the investment philosophy and skill of hedge funds and mutual funds. Hedge funds tend to buy stocks with low past returns, while mutual funds tend to be trend followers. The two-thirds