Detail grantu

GAČR 18-02513S Meta-Analyses of Stock Return Determinants

Řešitel: doc. PhDr. Tomáš Havránek Ph.D.
Spolupracovníci: doc. PhDr. Zuzana Havránková Ph.D.
Jiří Novák M.Sc., Ph.D., Deloitte Corporate Chair
Popis: Understanding factors associated with cross-sectional variation in returns on financial assets is fundamental both for research in asset pricing and for corporate finance practice. Empirical findings on the predictive power of those factors may reflect i) their ability to proxy for a firm’s exposure to underlying risk, ii) their relation to imperfections in financial market microstructure, iii) their association with systematic mispricing, or iv) incorrect statistical inferences resulting from non-representative samples or inappropriate methodology. Using meta-analysis techniques, we will synthesize empirical findings on the predictive power of stock return determinants to assess their validity, to discriminate between the competing explanations, and to estimate the magnitude of the corresponding stock returns premiums. We also aim at contributing to the development of the meta-regression methodology by proposing how it can be adapted to adjust for the publication selection bias in areas related to asset pricing.
Spolupráce:
Práce v rámci grantu:
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Finance:
Konec: 31.12.2020
Publikace:

Does the large amount of information in corporate disclosures hinder or enhance price discovery in the capital market?

Firm Size and Stock Returns: A Quantitative Survey

Social stigma and executive compensation

Konference:

Partneři

Deloitte
McKinsey & Company
Moneta Money Bank

Sponzoři

CRIF
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