Financial Management articles from June 2006

Financial Management archives from June 2006

Do investors capture the value premium?
June 22, 2006... Do investors realize higher returns by investing in value stocks instead of growth stocks? Examination of a sample of equity indexes, mutual funds, and large-cap stocks reveals no evidence that value firms have earned higher returns than growth...

Investor recognition, liquidity, and exchange listings in the reformed markets.
June 22, 2006... We examine multiple facets of firms' decisions to list on the NYSE. Although the average Nasdaq spreads are now comparable to the average NYSE spreads, we find that firms continue to switch from Nasdaq to the NYSE, and that they experience...

The dynamic relation between returns and idiosyncratic volatility.
June 22, 2006... We claim that regressing excess returns on one-lagged volatility provides only a limited picture of the dynamic effect of idiosyncratic risk, which tends to be persistent over time. By correcting for the serial correlation in idiosyncratic...

The determinants and implications of mutual fund cash holdings: theory and evidence.
June 22, 2006... 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 this article. In particular, small-cap...

Explaining premiums in restricted DR markets and their implications: the case of Infosys.(Depositary Receipts )
June 22, 2006... I examine several possible explanations for why Infosys' Depositary Receipts (DRs) trade at significant premiums to the equivalent underlying domestic shares. I find that a limited supply of DRs and a downward-sloping demand curve, significant...