Nntakeovers and the cross section of returns pdf files

Nair is from the wharton school at the university of pennsylvania. Daniel da vid hirshleifer av anidhar subrahman y am w e thank. In particular, we use the monthly and daily stock data from crsp stocksecurity files. Bm explain the crosssectional variation of average stock returns, and ii the. Since the capm is empirically not successful in explaining the stock returns completely, there are other models, such as the famafrench 3 factormodel. A study of how anomalies accrue over the day provides a useful perspective to assess their determinants. The history of the cross section of stock returns jacobs levy. Summary of asset growth and the crosssection of stock returns. Machine learning and the crosssection of expected stock returns.

This paper studies the crosssectional properties of return fore casts derived from. A datamining approach xuemin sterling yan and lingling zheng abstract a key challenge to evaluate datamining bias in stock return anomalies is that we do not observe. This is done by estimating whether returns on positive, neutral and negative news days are significantly different from the average daily return for a large sample of. To gauge the robustness of our results across firm capitalization levels, we repeat our analysis across three sizegrouped portfolios small, medium, and large defined annually using the 30 thand 70 nyse market equity percentiles in june of. Cash flow, consumption risk, and the crosssection of stock returns. The dynamics of factor loadings in the crosssection of. Cross sectional analysis is a type of analysis that an investor, analyst or portfolio manager may conduct on a company in relation to that companys industry or industry peers. July 27, 2000 commen ts w elcome co v ariance risk, mispricing, and the cross section of securit y returns ken t d. Takeovers and the crosssection of returns request pdf.

What is cross section in cross section of stock return. News sensitivity and the crosssection of stock returns zurich open. I link an assets risk premium to two characteristics of its underlying cash f low. If firms are more likely to acquire when there is more free cash or lower required rates of return, the targets become more sensitive to shocks to cash flows or the price of risk. We use all nonfinancial firms in the intersection of a the nyse, amex, and nasdaq return files from the center for research in security prices. This paper considers the impact of the takeover likelihood on firm valuation. Nonlinear pricing kernels, kurtosis preference, and. Asset growth and the crosssection of stock returns 1611 returns up to 5 years beyond the sorting year.

This procedure generates a time series of portfolio returns. Asset growth and the crosssection of stock returns krannert. Fundamental analysis and the crosssection of stock. Media coverage and the crosssection of stock returns. Further, the nonlinearities in the pricing kernel drive out the importance of the factors in the linear multifactor model. Fundamental analysis and the cross section of stock returns. The discount factor captures these two mentioned sources of variation through factors that are related to timevarying risk and to aggregate fun damentals. Cremers is from the international center for finance at the yale school of management. The differences between the split file results and the standard full sample. The search for factors that predict the crosssection of stock returns generates an abundant literature. Media coverage and the crosssection of stock returns article in the journal of finance 645. Crosssectional and timeseries tests of return predictability unil.