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This study develops a methodology that improves the implementation of the residual income model (RIM) using the value‐to‐book (V/B) ratio. We decompose a firm's V/B into two components – industry V/B, estimated using the industry mean price‐to‐book ratio and firm‐specific V/B, estimated as the...
Rational asset‐pricing theory asserts that higher risk should be accompanied by higher expected return. The credit risk puzzle, however, states a negative cross‐sectional relationship between credit risk and future stock returns (Journal of Finance, 53, 1998, 1131; Journal of Finance, 57, 2002,...
We examine the process of stock prices adjusting to information conveyed by the trading process. Using the price impact of a trade to measure its information content, we show that the weekly price impact has significant cross‐sectional predictive power for returns in the subsequent week. The...
This study focuses on the improvement effect of corporate governance (especially independent monitoring) on firm value. We aim to theoretically identify, by setting up a model, the companies that show greater increase in value as a result of monitoring improvement, and confirm these results...
This study documents the negative relationship between foreign ownership and the future volatility of Indonesian stocks. The calming effect of foreign ownership is present before, during, and after the Asian financial crisis. It is independent of gross and net foreign trading and the stock's...
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