Balance sheet conservativity and cross-section of stock returns
buir.advisor | Şensoy, Ahmet | |
dc.contributor.author | Erkenci, Dündar Alp | |
dc.date.accessioned | 2023-08-31T11:10:59Z | |
dc.date.available | 2023-08-31T11:10:59Z | |
dc.date.copyright | 2023-08 | |
dc.date.issued | 2023-08 | |
dc.date.submitted | 2023-08-28 | |
dc.description | Cataloged from PDF version of article. | en_US |
dc.description | Includes bibliographical references (leaves 57-63). | en_US |
dc.description.abstract | The present study delves into the examination of various balance sheet measures and their significance in the cross-sectional pricing of stocks, to provide unique insights into the understanding of financial risk and its relation to balance sheet metrics. Based on these metrics, our study also sheds light on the importance and stability of a composite factor and its influence on stock prices. The findings of univariate portfolio sorts reveal that BLC (along with its parameters CDA, WCA, and LTDA) is a strong indicator of stock returns, corresponding to statistically significant seven-factor alphas for the high-low portfolios. Consistent results among bivariate portfolio sorts also support the BLC factor strength. The outcomes of Fama-Macbeth regressions for separate BLC parameters indicate positive risk premiums for each parameter when tested against ten different return predictors. Among other balance sheet measures, LTDA is the only BLC parameter associated with the capability to isolate significant risk premiums not proxied by extant anomalies in the literature. Comprehensive findings that are also supported by the summary statistics collectively indicate mixed effects of risk and underreaction-driven mispricing to explain the abnormal stock returns associated with the high-BLC characteristics of their issuers. The findings reveal high-performing investment strategies based on these metrics, and collectively favor more conservative financial policies for the stock-issuing firms. | |
dc.description.provenance | Made available in DSpace on 2023-08-31T11:10:59Z (GMT). No. of bitstreams: 1 B162436.pdf: 837297 bytes, checksum: 2d4cd28b3e0ffd2329065102598c125f (MD5) Previous issue date: 2023-08 | en |
dc.description.statementofresponsibility | by Dündar Alp Erkenci | |
dc.format.extent | x, 63 leaves ; 30 cm. | |
dc.identifier.itemid | B162436 | |
dc.identifier.uri | https://hdl.handle.net/11693/113798 | |
dc.language.iso | English | |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.subject | Balance sheet conservativity | |
dc.subject | Cash-to-assets ratio | |
dc.subject | Financial risk and mispricing | |
dc.subject | Long-term debt-to-assets ratio | |
dc.subject | Working capital-to-assets ratio | |
dc.title | Balance sheet conservativity and cross-section of stock returns | |
dc.title.alternative | Bilanço ihtiyatlılığının hisse fiyatlarına etkisi | |
dc.type | Thesis | |
thesis.degree.discipline | Business Administration | |
thesis.degree.grantor | Bilkent University | |
thesis.degree.level | Master's | |
thesis.degree.name | MBA (Master of Business Administration) |