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Cross-sectional Tests (cross-sectional + test)
Selected AbstractsCross-Sectional Tests of Multifactor CCAPMs using Conditional Moments and Time-Series Restrictions,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2009Jinyong Kim Abstract Two different methods are used to evaluate the performance of the consumption-based asset pricing models to explain the cross-section of expected stock returns in conditional moments: one is to scale the returns, and the other is to model time-varying factor loadings, using instrument variables. Maximum correlation portfolios are constructed to directly impose restrictions on the time-series intercepts, especially in a model whose factors are not returns. The empirical results are as follow: the consumption-based models perform no better than the standard CAPM; adding the return on human capital as an additional risk factor does not help explain the cross-section; and the Fama-French three-factor model shows the best ability to lower the pricing error. [source] Long-term Equity and Operating Performances following Straight and Convertible Debt Issuance in the U.S.,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 3 2009Mookwon Jung Abstract This paper shows that long-term equity and operating performances that follow straight and convertible debt issuance in the U.S. are different, just as are announcement-period market reactions, supporting the notion that market investors initially underreact to a selective event of convertible debt issuance. Cross-sectional tests reveal that firms issuing convertible debt often suffer stock underperformance partly because of their deteriorating fundamentals subsequently to the issuance. Even when each convertible bond directly matches with a straight bond that has a similar offering date and issuer and bond characteristics, convertible debt issuers still significantly under-perform straight debt issuers, supporting that what matters for long-term equity and operating performances is the type of debt offering. [source] The Determinants and Implications of Mutual Fund Cash Holdings: Theory and EvidenceFINANCIAL MANAGEMENT, Issue 2 2006Xuemin (Sterling) Yan In this article, I examine the determinants and implications of equity mutual fund cash holdings. In cross-sectional tests, I find evidence generally supportive of a static trade-off model developed in the article. In particular, small-cap funds and funds with more-volatile fund flows hold more cash. However, I do not find that fund managers with better stock-picking skills hold less cash. Aggregate cash holdings by equity mutual funds are persistent and positively related to lagged aggregate fund flows. Aggregate cash holdings do not forecast future market returns, suggesting that equity funds as a whole do not have market timing skills. [source] Forecast Dispersion and the Cross Section of Expected ReturnsTHE JOURNAL OF FINANCE, Issue 5 2004TIMOTHY C. JOHNSON ABSTRACT Recent work by Diether, Malloy, and Scherbina (2002) has established a negative relationship between stock returns and the dispersion of analysts' earnings forecasts. I offer a simple explanation for this phenomenon based on the interpretation of dispersion as a proxy for unpriced information risk arising when asset values are unobservable. The relationship then follows from a general options-pricing result: For a levered firm, expected returns should always decrease with the level of idiosyncratic asset risk. This story is formalized with a straightforward model. Reasonable parameter values produce large effects, and the theory's main empirical prediction is supported in cross-sectional tests. [source] | ||||||||||