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Do Option Traders on Value and Growth Stocks React Differently to New Information?

Wei He, Yen-Sheng Lee, Peihwang Wei
2007 Social Science Research Network  
This paper compares the changes in implied volatilities of options on Nasdaq 100 and Russell 2000 value and growth portfolios.  ...  The empirical evidence using put options indicates a greater degree of overreaction or misreaction in options on growth indices as proxied by Nasdaq 100 and Russell 2000 growth compared to options on Russell  ...  0.037 $345,188 Long-term 0.193 0.186 0.039 $185,728 Russell 2000 Growth Short-term 0.214 0.205 0.059 $8,990 Long-term 0.221 0.218 0.034 $10,821 Russell 2000 Value Short-term 0.172 0.170 0.039 $7,840 Long-term  ... 
doi:10.2139/ssrn.1081363 fatcat:egws3hfukrcqpopqss2b3q5nb4

Do option traders on value and growth stocks react differently to new information?

Wei He, Yen-Sheng Lee, Peihwang Wei
2009 Review of Quantitative Finance and Accounting  
This paper compares the changes in implied volatilities of options on Nasdaq 100 and Russell 2000 value and growth portfolios.  ...  The empirical evidence using put options indicates a greater degree of overreaction or misreaction in options on growth indices as proxied by Nasdaq 100 and Russell 2000 growth compared to options on Russell  ...  2000 Growth Short-term 0.214 0.205 0.059 $8,990 Long-term 0.221 0.218 0.034 $10,821 Russell 2000 Value Short-term 0.172 0.170 0.039 $7,840 Long-term 0.184 0.185 0.026 $13,588  ... 
doi:10.1007/s11156-009-0134-y fatcat:woqk4zi2vfhedogukj4lru3sfu

A framework for value investing

Seungmin Chee, Richard Sloan, Aydin Uysal
2013 Australian Journal of Management  
We define the relative value of an investment in terms of the prospective yield implied by the investment's current price and expected future cash flows.  ...  This paper provides a framework for defining, formulating and evaluating value investment strategies.  ...  Second, analysts' forecasts of longer-term earnings may be simple extrapolations of their short-term earnings forecasts and are poor proxies for investors' actual long-term earnings expectations.  ... 
doi:10.1177/0312896213510715 fatcat:bdsa5d6vibgujpa4fb4yqvrt3a

A Framework for Value Investing

Richard G. Sloan, Seungmin Chee, Aydin Uysal
2013 Social Science Research Network  
We define the relative value of an investment in terms of the prospective yield implied by the investment's current price and expected future cash flows.  ...  This paper provides a framework for defining, formulating and evaluating value investment strategies.  ...  Second, analysts' forecasts of longer-term earnings may be simple extrapolations of their short-term earnings forecasts and are poor proxies for investors' actual long-term earnings expectations.  ... 
doi:10.2139/ssrn.2310852 fatcat:2rhupy7vqze6bezoo7nosam5jy

Investment Horizon and Corporate Social Performance: The Virtuous Circle of Long-Term Institutional Ownership and Responsible Firm Conduct

Ioannis Oikonomou, Chao Yin, Lei Zhao
2017 Social Science Research Network  
from the Russell 2000 index.  ...  The switch of firms between the two Russell indexes and the inclusion/exclusion of firms in the Russell 2000 index are used as the IVs in our first stage For the detailed explanations of the Russell Index  ... 
doi:10.2139/ssrn.3045946 fatcat:efk4cxqijretpammc2b3gdwyz4

Sustainable Investing: Establishing Long-Term Value and Performance

Mark Fulton, Bruce M. Kahn, Camilla Sharples
2012 Social Science Research Network  
Executive Summary In Sustainable Investing: Establishing Long-Term Value and Performance we have conducted 2 main analyses: Firstly, we outline a history of Sustainable Investing (SI), from Ethical negative  ...  long-term, both in terms of stock market and accounting performance".  ...  The REP was created with the long-term investment horizon that integrated financial analysis and ESG factors with active ownership.  ... 
doi:10.2139/ssrn.2222740 fatcat:oww7grw3rvai7bdxigyr5ee4ey

Influence or Preference? A New Look at Institutional Ownership and Earnings Management

Jun Wang, Qijian Wang
2021 Businesses  
The question is whether institutional investors drive down earnings management of the firms they invest in, or they choose firms with lower earnings management.  ...  In this paper, we use the instrument variable design of the Russell 1000 and 2000 indices reconstruction to obtain an exogenous variation in institutional ownership.  ...  Manipulating earnings around IPO and SEO will lead to both short-term and long-term negative returns after their issuance [1, 2] .  ... 
doi:10.3390/businesses1030012 fatcat:5wcemgct3jb6bke4j5vzow5i6u

Redefining Shareholder Value Maximization: Identifying key sustainable investment strategies and their role in rehabilitating corporate purpose

Iris Wan Wan Duong
2022 Consilience - The Journal of Sustainable Development  
maximization' that ties positive externalities to long-term portfolio performance.  ...  Grounded in case studies and real-life interviews, this essay explore ways in which investors can transcend their roles of merely financiers to become gatekeepers, value creators and reformers of corporate  ...  During and postinvestment, the firm can be valued by its (i) short term profitability (ii) long term post-investment profitability and (iii) ESG standards.  ... 
doi:10.52214/consilience.vi25.8794 fatcat:rasewkhuezcjpgykg53ktienha

Examining the Performance of a Value Investing Heuristic: Evidence from the S&P/TSX 60 from 2001-2011

Eben Otuteye, Mohammad Siddiquee
2012 Social Science Research Network  
We develop a simple heuristic for making value investing decisions based on profitability, financial stability, susceptibility to bankruptcy, and margin of safety.  ...  Thus the heuristic can be viewed as a reliable set of value investing decision criteria.  ...  In the value investing paradigm, measuring and comparing returns on short-term basis is meaningless.  ... 
doi:10.2139/ssrn.2252983 fatcat:5r3pudxmcffhra3dkz7q2jcdhy

The Effect of Institutional Ownership on Firm Transparency and Information Production

Audra L. Boone, Joshua T. White
2014 Social Science Research Network  
Our analyses use the annual reconstitution of the Russell 1000 and 2000 indexes.  ...  The characteristics of firms near the Russell 1000/2000 threshold are similar, except that firms just included in the top of the Russell 2000 index have discontinuously higher institutional ownership,  ...  Quasi-indexer Quasi-indexers are characterized by low turnover, high diversification, and a long-term investment horizon.  ... 
doi:10.2139/ssrn.2528891 fatcat:eb6zikabezeotlwbb2birht5wa

The Effect of Institutional Ownership on Payout Policy: A Regression Discontinuity Design Approach

Alan D. Crane, Sebastien Michenaud, James Peter Weston
2012 Social Science Research Network  
We also find evidence of a causal effect on proxy voting, corporate investment, R&D, and equity issuance.  ...  We show that higher institutional ownership causes firms to pay more dividends and repurchase more shares.  ...  payment if they become smaller and move from the Russell 1000 index to the Russell 2000 index because their investment opportunities shrink.)  ... 
doi:10.2139/ssrn.2102822 fatcat:z2jlsaxd2vfxrfmljioxxbcpqi

The effect of institutional ownership on firm transparency and information production

Audra L. Boone, Joshua T. White
2015 Journal of Financial Economics  
Our analyses use the annual reconstitution of the Russell 1000 and 2000 indexes.  ...  The characteristics of firms near the Russell 1000/2000 threshold are similar, except that firms just included in the top of the Russell 2000 index have discontinuously higher institutional ownership,  ...  Quasi-indexer Quasi-indexers are characterized by low turnover, high diversification, and a long-term investment horizon.  ... 
doi:10.1016/j.jfineco.2015.05.008 fatcat:aynaimmmvrch3dlbo4so3xqfv4

The Impact of Corporate Social Responsibility on Firm Value: The Role of Customer Awareness

Henri Servaes, Ane Tamayo
2013 Management science  
This evidence is consistent with the view that CSR activities can add value to the firm but only under certain conditions.  ...  T his paper shows that corporate social responsibility (CSR) and firm value are positively related for firms with high customer awareness, as proxied by advertising expenditures.  ...  seminar participants at London Business School for useful comments and discussions.  ... 
doi:10.1287/mnsc.1120.1630 fatcat:ontv4ganlve6zc4v7fd5yrpsia

Standing on the Shoulders of Giants: The Effect of Passive Investors on Activism

Ian Appel, Todd A. Gormley, Donald B. Keim
2018 Social Science Research Network  
We analyze whether the growing importance of passive investors has influenced the campaigns, tactics, and successes of activists.  ...  Overall, our findings suggest that the increasingly large ownership stakes of passive institutional investors mitigate free-rider problems associated with certain forms of intervention and ultimately increase  ...  This table reports estimates of our first-stage regression of passive ownership onto an indicator for membership in the Russell 2000 index plus additional controls. Specifically, we estimate  ... 
doi:10.2139/ssrn.2693145 fatcat:6ss2rbsjj5axhbhmhnylbr3yhi

How Is Manifest Branding Strategy Related to the Intangible Value of a Corporation?

Vithala R. Rao, Manoj K. Agarwal, Denise Dahlhoff
2004 Journal of Marketing  
These strategies differ in their essential structure and in their potential costs and benefits to the firm.  ...  In addition, most of the firms would have been able to improve their Tobin's q had they adopted a branding strategy different from the one their brand portfolios revealed.  ...  = (short-term liabilities -short-term assets) + book value of long-term debt, and TA = book value of total assets.  ... 
doi:10.1509/jmkg.68.4.126.42735 fatcat:yzicvj5ydfc4jfgraajjlx4aiq
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