139 records from EconBiz based on author Name

1. Beyond carry: the prospective interest rate differential and currency excess returns

Dong, Mengmeng; Goto, Shingo; Hou, Kewei; Yan, Xu; Zhang, Yuzhao;
2024
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link

---

2. Debt Maturity Structure and Corporate Investment

abstract

We show that firms’ debt maturity structure plays an important role in investment above and beyond that of leverage. Firms with a longer debt maturity structure tend to invest more. These results are stronger for firms with high leverage, profitability, and growth potential. We rationalize our results in a model in which debt maturity structure is determined by the trade-off between liquidity cost and the repayment flexibility of long-term debt. In our model, highly productive firms invest more and prefer to use long-term debt to free up funds for future investment. This mechanism is supported by the data. Our findings highlight the importance of debt maturity structure in understanding corporate investment decisions

Hong, Claire Yurong; Hou, Kewei; Nguyen, Thien T.;
2023
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link

---

3. Finding Anomalies in China

abstract

To study the cross-section of returns in the Chinese stock market, we follow the anomaly literature and construct 454 strategies between 2000 and 2020, based on 208 firm-level trading and accounting signals. With the conventional single-testing t-statistic cutoff of 1.96, 101 strategies have significant value-weighted raw returns, and 20 remain significant after risk adjustments. To avoid false discoveries, we recalibrate the t-statistic cutoff to 2.85 to accommodate multiple testing. 36 strategies survive the higher hurdle rate in value-weighted raw returns, while none remains significant after risk adjustments. When we use machine learning techniques to combine information from multiple signals, the resulting composite strategies mostly have significant returns after risk adjustments, even with the higher t-statistic cutoff. We relate Chinese anomaly returns to aggregate economic conditions and find that they comove with financial market development, accounting quality, market liquidity, and government regulations

Hou, Kewei; Qiao, Fang; Zhang, Xiaoyan;
2023
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link

---

4. Corporate R&D and stock returns : international evidence

Hou, Kewei; Hsu, Po-Hsuan; Wang, Shiheng; Watanabe, Akiko; Xu, Yan;
2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link

---

5. The economics of security analysis

Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu;
2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 2 (based on OpenCitations) Cited By

---

6. The Economics of Security Analysis

abstract

The investment CAPM, in which expected returns vary cross-sectionally with investment, profitability, and expected growth, provides an equilibrium foundation for Graham and Dodd (1934). The q5 model is a good start to explaining prominent security analysis strategies, such as Abarbanell and Bushee’s (1998) fundamental signals, Frankel and Lee’s (1998) intrinsic-to-market, Greenblatt’s (2005) “magic formula,” Asness, Frazzini, and Pedersen’s (2019) quality-minus-junk, Bartram and Grinblatt’s (2018) agnostic analysis, operating cash flow-to-market inspired by Ball (1978), and Penman and Zhu’s (2014, 2020) expected-return strategy, as well as best-performing active, discretionary funds, such as Buffett’s Berkshire Hathaway

Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu;
2022
Availability: Link

---

7. Systematic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun;
2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
Citations: 2 (based on OpenCitations) Cited By

---

8. Security Analysis : An Investment Perspective

abstract

The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability, and expected growth, is a good start to understanding Graham and Dodd's (1934) Security Analysis. Empirically, the q^5 model goes a long way toward explaining prominent equity strategies rooted in security analysis, including Frankel and Lee's (1998) intrinsic-to-market value, Piotroski's (2000) fundamental score, Greenblatt's (2005) "magic formula," Asness, Frazzini, and Pedersen's (2019) quality-minus-junk, Buffett's Berkshire, Bartram and Grinblatt's (2018) agnostic analysis, as well as Penman and Zhu's (2014, 2018) and Lewellen's (2015) expected-return strategies

Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu;
2019
Availability: Link Link
Citations: 4 (based on OpenCitations) Cited By

---

9. Real effects of climate policy : financial constraints and spillovers

abstract

We document that localized policies aimed at mitigating climate risk can have unintended consequences due to regulatory arbitrage by firms. Using a difference-in-differences framework to study the impact of the California cap-and-trade program with US plant level data, we show that financially constrained firms shift emissions and plant ownership from California to other states. In contrast, unconstrained firms do not make such adjustments. Overall, neither constrained nor unconstrained firms reduce their total emissions when only a subset of their plants are affected by the cap-and-trade rule, undermining the effectiveness of the policy

Bartram, Söhnke M.; Hou, Kewei; Kim, Sehoon;
2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link
Citations: 8 (based on OpenCitations) Cited By

---

10. Security analysis : an investment perspective

abstract

The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability, and expected growth, is a good start to understanding Graham and Dodd's (1934) Security Analysis. Empirically, the q5 model goes a long way toward explaining prominent equity strategies rooted in security analysis, including Frankel and Lee's (1998) intrinsic-to-market value, Piotroski's (2000) fundamental score, Greenblatt's (2005) “magic formula,” Asness, Frazzini, and Pedersen's (2019) quality-minus-junk, Buffett's Berkshire, Bartram and Grinblatt's (2018) agnostic analysis, as well as Penman and Zhu's (2014, 2018) and Lewellen's (2015) expected-return strategies

Hou, Kewei; Mo, Haitao; Xue, Chen; Zhang, Lu;
2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link

---

Load More