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作者：Goyal, Amit; Wahal, Sunil
作者单位：Emory University; Arizona State University; Arizona State University-Tempe
摘要：We examine the selection and termination of investment management firms by 3,400 plan sponsors between 1994 and 2003. Plan sponsors hire investment managers after large positive excess returns but this return-chasing behavior does not deliver positive excess returns thereafter. Investment managers are terminated for a variety of reasons, including but not limited to underperformance. Excess returns after terminations are typically indistinguishable from zero but in some cases positive. In a sa...
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作者：Cohen, Lauren; Frazzini, Andrea
作者单位：Harvard University; National Bureau of Economic Research; University of Chicago
摘要：This paper finds evidence of return predictability across economically linked firms. We test the hypothesis that in the presence of investors subject to attention constraints, stock prices do not promptly incorporate news about economically related firms, generating return predictability across assets. Using a data set of firms' principal customers to identify a set of economically related firms, we show that stock prices do not incorporate news involving related firms, generating predictable ...
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作者：Cooper, Michael J.; Gulen, Huseyin; Schill, Michael J.
作者单位：Utah System of Higher Education; University of Utah; Purdue University System; Purdue University; University of Virginia
摘要：We test for firm-level asset investment effects in returns by examining the cross-sectional relation between firm asset growth and subsequent stock returns. Asset growth rates are strong predictors of future abnormal returns. Asset growth retains its forecasting ability even on large capitalization stocks. When we compare asset growth rates with the previously documented determinants of the cross-section of returns (i.e., book-to-market ratios, firm capitalization, lagged returns, accruals, an...
