By L. Renneboog
Offers with the effectiveness of particular company governance units and alterations in capital constitution and hazard administration.
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Additional info for Advances in Corporate Finance and Asset Pricing
2: The correlation structure of loan returns is positive. 3: Existing shareholder’s gains/losses when ρ ϭ Ϫ1. 4: Existing shareholder’s gains/losses when ρ ϭ 1. 5: Descending order of preferences when ρ ϭ Ϫ1. 6: Descending order of preferences when ρ ϭ 1. 1: Company characteristics by sales and earnings. 1: Descriptive statistics of US yields. 2: Descriptive statistics of US discount bond returns. 3: Regression results for expectation hypothesis equations. 4: Chow test results for expectation hypothesis equations.
The authors develop a theoretical framework, which captures an investor’s trading strategy based on momentum in a continuous-time asset-allocation setting. Rodriguez and Sbuelz assume that investors with a momentum-trading strategy compare the latest levels of stock returns to a target or long-run level. In addition, their model allows investors to compare current returns to the past performance of returns and introduce positive autocorrelation of holding-period returns. The authors isolate three effects of momentum on strategic asset allocation: the speculative effect, the conditional-hedge effect and the unconditional-hedge effect.
They study the long-term value creation of US firms with an active acquisition strategy. They contrast this to the strategies of firms that grow via frequent acquisitions and through organic growth. They demonstrate that the growth rate of highly acquisitive companies is almost twice as high as that of organic growers but — logically — only creates shareholders’ value if the operating returns are above the cost of capital. Unsurprisingly, frequent bidders grow twice as fast as organically growing firms.