An Augmented q-Factor Model with Expected Growth
Kewei Hou, Haitao Mo, Chen Xue, Lu Zhang
Review of Finance, Volume 25, Issue 1, February 2021, Pages 1–41, https://doi.org/10.1093/rof/rfaa004
In the investment theory, firms with high expected investment growth should earn higher expected returns than firms with low expected investment growth, holding current investment and profitability constant.… Read more...
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Forecasting the Equity Premium: Mind the News!
Philipp Adämmer, Rainer A Schüssler
Review of Finance, Volume 24, Issue 6, November 2020, Pages 1313–1355, https://doi.org/10.1093/rof/rfaa007
We introduce a novel strategy to predict the equity premium by extracting news from more than 700000 newspaper articles, which were published in The New York Times and Washington Post between 1980 and 2018.… Read more...
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The Duration Puzzle in Life-Cycle Investment
Servaas van Bilsen, Ilja A Boelaars, A. Lans Bovenberg
Review of Finance, Volume 24, Issue 6, November 2020, Pages 1271–1311, https://doi.org/10.1093/rof/rfaa009
Figure 1. Duration of fixed income portfolios in TDFs. The figure illustrates the (weighted) mean (solid line), the (weighted) 10% quantile (dash-dotted line) and the (weighted) 90% quantile (dashed line) of the modified duration of fixed income portfolios in TDFs in 2019 as a function of age.… Read more...
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Does the Market Correctly Value Investment Options?
Evgeny Lyandres, Egor Matveyev, Alexei Zhdanov
Review of Finance, Volume 24, Issue 6, November 2020, Pages 1159–1201, https://doi.org/10.1093/rof/rfaa002
Investment options are one of the most important components of firm value. At the same time, they are notoriously difficult to value.… Read more...
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Regulatory Certification, Risk Factor Disclosure, and Investor Behavior
Ruben Cox, Peter de Goeij
Review of Finance, Volume 24, Issue 5, September 2020, Pages 1079–1106, https://doi.org/10.1093/rof/rfaa003
Externalities of Regulatory Oversight on Investor Behavior in Financial Markets
Does regulatory approval of prospectuses act as a “certification” or “approval” of securities offerings?… Read more...
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Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions
Prachi Deuskar, Nitin Kumar, Jeramia Allan Poland
Review of Finance, Volume 24, Issue 5, September 2020, Pages 1039–1077, https://doi.org/10.1093/rof/rfaa006
Investor behavior, being forward-looking, ought to tell us something about the future.… Read more...
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Reaching for Yield in the ABS Market: Evidence from German Bank Investments
Matthias Efing
Review of Finance, Volume 24, Issue 4, July 2020, Pages 929–959, https://doi.org/10.1093/rof/rfz013
It is well documented how the creditworthiness of asset-backed securities (ABSs) deteriorated rapidly during the financial crisis, causing significant financial distress among investors and the economic system as a whole.… Read more...
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Margin Trading and Comovement During Crises
Bige Kahraman, Heather Tookes
Review of Finance, Volume 24, Issue 4, July 2020, Pages 813–846, https://doi.org/10.1093/rof/rfz019
In this paper, we exploit threshold rules governing margin trading eligibility in India to identify a causal link between margin trading and increased comovement during crises.… Read more...
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Internal Capital Markets in Times of Crisis: The Benefit of Group Affiliation
Raffaele Santioni, Fabio Schiantarelli, Philip E Strahan
Review of Finance, Volume 24, Issue 4, Issue 4, July 2020, Pages 773–811, https://doi.org/10.1093/rof/rfz020
This paper provides the first direct evidence of substitution towards internal capital markets in response to deterioration of the balance sheet condition of a firm’s bank.… Read more...
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What Does Stock Ownership Breadth Measure?
James J. Choi, Li Jin, Hongjun Yan
Review of Finance, Volume 17, Issue 4, July 2013, Pages 1239–1278, https://doi.org/10.1093/rof/rfs026
What happens to future returns when large numbers of investors open new positions in a stock?… Read more...
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