Zobrazeno 1 - 10
of 17
pro vyhledávání: '"Nishad Kapadia"'
Publikováno v:
Journal of Financial Economics. 146:172-204
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7d22d578ab4a04be18c2df6ec346435f
https://doi.org/10.1016/j.jfineco.2022.07.005
https://doi.org/10.1016/j.jfineco.2022.07.005
Autor:
Morad Zekhnini, Nishad Kapadia
Publikováno v:
Journal of Financial Economics. 131:666-692
We show that idiosyncratic jumps are a key determinant of mean stock returns from both an ex post and ex ante perspective. Ex post, the entire annual average return of a typical stock accrues on the four days on which its price jumps. Ex ante, idiosy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::faaedae87f143d4d00d2a402c83b748e
https://doi.org/10.1016/j.jfineco.2018.08.014
https://doi.org/10.1016/j.jfineco.2018.08.014
Publikováno v:
SSRN Electronic Journal.
We show that a common component governs volatility dynamics across a wide range of traded equity factors. This `common factor volatility' (CFV) exists even among orthogonal factors. CFV occurs in both cash-flow and discount-rate components of factor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1695befbe081c134ca01f246b9d57587
https://doi.org/10.2139/ssrn.3606637
https://doi.org/10.2139/ssrn.3606637
Publikováno v:
SSRN Electronic Journal.
We find that the low average returns to firms with high asset growth are consistent with two key implications of models of diagnostic investor expectations (e.g., Bordalo, Gennaioli, La Porta, and Shleifer, 2019) that formalize the representativeness
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::34d98c002ac8ddccf331f0dafb33591d
https://doi.org/10.2139/ssrn.3739972
https://doi.org/10.2139/ssrn.3739972
Publikováno v:
Journal of Financial and Quantitative Analysis. 54:1157-1192
Stocks that hedge sustained market downturns should have low expected returns, but they do not. We use ex ante firm characteristics and covariances to construct a tradable safe minus risky (SMR) portfolio that hedges market downturns out of sample. A
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0d4b80f874302c06b41d92db46b57f5e
https://doi.org/10.1017/s0022109018000856
https://doi.org/10.1017/s0022109018000856
Autor:
Jefferson Duarte, Nishad Kapadia
Publikováno v:
Journal of Financial and Quantitative Analysis. 52:2429-2460
We show that a simple, intuitive variable, (Goliath versus David) reflects timevariation in discount rates related to changes in aggregate business conditions. is the annual change in the weight of the largest 250 firms in the a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8eba9cfee2424eeb4a40b4307f93800e
https://doi.org/10.1017/s0022109017000783
https://doi.org/10.1017/s0022109017000783
Publikováno v:
SSRN Electronic Journal.
We find that Credit Rating Agencies (CRAs) see through transitory shocks to credit risk that stem from transitory shocks to equity prices, while market-based measures of credit risk do not. For a given stock return, CRAs are significantly less likely
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da1a0d112b2b77173817111844168fe3
https://doi.org/10.2139/ssrn.2998242
https://doi.org/10.2139/ssrn.2998242
Publikováno v:
Journal of Financial Economics. 113:455-475
Campbell, Hilscher, and Szilagyi (2008) show that firms with a high probability of default have abnormally low average future returns. We show that firms which have a high potential for default (‘death’) also tend to have a relatively high probab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::884f60475eb9b0a6841531fd7e6b6d70
https://doi.org/10.1016/j.jfineco.2014.04.001
https://doi.org/10.1016/j.jfineco.2014.04.001
Publikováno v:
SSRN Electronic Journal.
We develop a new measure of integrity as it relates to corporate culture - the number of employees who use corporate emails to register for a website that facilitates extramarital affairs. This measure is associated with firm-level unethical behavior
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::38758a9442870459e50589fd01aaa9d3
https://doi.org/10.2139/ssrn.2741049
https://doi.org/10.2139/ssrn.2741049
Autor:
Nishad Kapadia, Gregory W. Brown
Publikováno v:
Journal of Financial Economics. 84:358-388
We examine the increase in firm-specific risk in the U.S. stock market which has been documented by prior research. We show that the observed increase is due solely to new listings by riskier companies. In addition, our results explain why prior rese
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc8270b0f59385d45e774f5d615ba947
https://doi.org/10.1016/j.jfineco.2006.03.003
https://doi.org/10.1016/j.jfineco.2006.03.003