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Two Essays on String of Earnings Benchmarks
Başlık:
Two Essays on String of Earnings Benchmarks
Yazar:
Zhang, Yiyang, author.
ISBN:
9780355989076
Yazar Ek Girişi:
Fiziksel Tanımlama:
1 electronic resource (120 pages)
Genel Not:
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Advisors: Dahlia Robinson Committee members: Thomas Smith; Ninon Sutton; James Whitworth.
Özet:
Essay 1: Prior research indicates that equity markets assign a higher valuation to firms that sustain a string of earnings increases (earnings string) and a string of meeting or beating analysts' earnings expectations (MBE string). However, to date, there is little evidence on the response of debt investors when firms sustain a long string of meeting/beating earnings benchmarks. This study fills the gap in the literature by analyzing the impact of sustaining an earnings string/MBE string on the cost of debt. I find evidence of a positive (negative) association between the length of the earnings string/MBE string and the bond yield spreads (credit ratings). These results suggest that debt holders assess a higher risk to firms that sustain a string of earnings benchmarks and require a higher risk premium, contrary to equity holders, who reward firms that sustain a string of earnings benchmarks. Additional analyses indicate that this discrepancy is attributable to the different investor compositions between debt and equity markets.
Essay 2: This study extends the existing literature by investigating the impact of sustaining a string of earnings increases (earnings string) on stock returns using the time-series asset pricing approach. Using both Fama-French (1993) three-factor and Carhart (1997) four-factor models, I find that the average abnormal return of a zero investment arbitrage portfolio that longs the highest earnings string portfolio and shorts the lowest earnings string portfolio is approximately negative 65 (75) basis points per month. These results provide further insight into the existing literature by demonstrating that earnings string firms initially experience higher stock returns. However, as earnings strings become longer, the market reaction becomes weaker.
Notlar:
School code: 0206
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Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
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XX(679218.1) | 679218-1001 | Proquest E-Tez Koleksiyonu | Arıyor... |
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