Firm-specific attributes and capital gains overhang

IF 2.5 Q2 ECONOMICS Eurasian Economic Review Pub Date : 2024-08-28 DOI:10.1007/s40822-024-00285-9

Mohamad Husam Helmi, Mohamed Shaker Ahmed

引用次数: 0

Abstract

This paper investigates the key factors driving the capital gains overhang (hereafter CGO) in the US stock market. We used a sample of 3865 non-financial US companies with 331,023 observations from January 2001 through December 2020. The data is analyzed using a panel regression model. It contributes to the literature by using a new set of firm characteristics, namely, liquidity proxied by turnover, company beta, leverage, EPS, cash flow to price, market to book ratio, and size. This research is interesting as it provides an alternative to the behavioral finance point of view that serves only limited stylized facts. We find that CGO is increasing in some firm attributes, namely earnings per share, leverage, growth, and size, and decreasing in others, namely turnover, beta, and cash flow to price. Our results are robust to cross-sectional regression that checks the stability of estimates over time and to subsample analyses. Finally, our results remain the same even after accounting for endogeneity.

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公司特有属性和资本收益悬置

本文研究了驱动美国股市资本收益悬置（以下简称 CGO）的关键因素。我们使用了 3865 家非金融类美国公司的样本，从 2001 年 1 月到 2020 年 12 月，共观察到 331023 个数据。数据采用面板回归模型进行分析。该研究使用了一组新的公司特征，即以营业额、公司贝塔值、杠杆率、每股收益、现金流价格比、市账率和规模为代表的流动性，从而为相关文献做出了贡献。这项研究非常有趣，因为它提供了一种替代行为金融观点的方法，而行为金融观点只能提供有限的典型事实。我们发现，CGO 在某些公司属性（即每股收益、杠杆率、增长和规模）上是递增的，而在其他属性（即营业额、贝塔系数和现金流价格比）上是递减的。我们的结果对于检验估计值随时间变化的稳定性的横截面回归和子样本分析都是稳健的。最后，即使考虑了内生性因素，我们的结果也保持不变。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Eurasian Economic Review ECONOMICS-

CiteScore

6.00

自引率

2.90%

发文量

期刊介绍： The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics. Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.