valuation uncertainty
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2021 ◽  
Vol 6 (1) ◽  
pp. 21-44
Author(s):  
Mercédesz Mészáros ◽  
Dóra Sallai ◽  
Gábor Dávid Kiss

Abstract Stock market indices are the benchmark of valuation uncertainty. Funding conditions can have an impact on the discounting process. Therefore time-premium, country-specific premia as well as (un)conventional monetary policy should be considered when studying market volatility. The aim of our research is to identify the effects of the unconventional monetary policy of European central banks on stock markets and to explore specific aspects of the relationship between domestic quantitative easing and the influence of the ECB, through the pattern of small, open economies in Europe. This study employs quantile panel regression to compare the 25% (calming) and 75% (stressed) scenarios of quarterly averaged conditional variance and compares them with an ordinary linear panel regression.


2021 ◽  
Author(s):  
Panos N. Patatoukas ◽  
Richard G. Sloan ◽  
Annika Yu Wang

We use the initial public offering (IPO) setting to provide evidence that the combination of valuation uncertainty and short-sales constraints generates significant equity market mispricing. The IPOs that we predict to be most susceptible to overpricing in the immediate aftermarket have first-day returns of +47% and lockup expiration returns of [Formula: see text]9%. Our detailed analysis of securities lending market data confirms that these IPOs experience severe short-sales constraints that peak around the lockup expiration. Our paper both explains the anomalous pricing of IPOs and highlights the importance of valuation uncertainty and short-sales constraints in explaining equity mispricing. This paper was accepted by Brian Bushee, accounting.


Author(s):  
Huy Will Nguyen ◽  
Zhu Zhu ◽  
Young Hoon Jung ◽  
Dong Shin Kim

Purpose What determines the level of acquisition premium? This paper aims to investigate the effect of acquirers’ social capital as reflected through their network position (structural holes and network density) on the level of acquisition premiums. Design/methodology/approach This study predicts acquisition premiums using a panel data set of 324 mergers and acquisition (M&A) transactions including 161 unique acquirers over a 21-year timeframe. M&A and alliance information are obtained from the securities data company platinum database; firm financial data are obtained from the COMPUSTAT database. Findings The results show that alliance network social capital provides acquiring firms with information benefits, thus, reducing the acquisition premium. However, such information benefits are also contingent on target valuation uncertainty and acquirers’ structure exploitation tendency. Practical implications Different types of network structures provide different social capital influences: managers should be aware of their advantages and pitfalls when engaging in M&As. The findings suggest that firms should pay close attention to social capital when making decisions regarding acquisition premiums. Originality/value Past research has indicated that acquiring firms tend to overestimate the value of target firms. Still, little attention has been paid to organizational-level social capital in analyzing the determinants of acquisition premiums. This study offers insight into the effect of network structure on M&A acquisition premiums.


2021 ◽  
Author(s):  
Andrey Golubov ◽  
Theodosia Konstantinidi

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