AFA Ph.D. Student Poster Session at the 2020 Annual Meeting(8)

Merger announcements cause upward revisions in the market value of target firms’ technology peers, whether targets and their peers belong to the same industry or not. Firms having deeper technology overlaps with the targets experience more dramatic price revisions. Consistent with the acquisition probability theory, a firm is more likely to be taken over if at least one of its technology peers has been acquired recently; and peers more vulnerable to acquisitions have greater upward price revisions. Our findings demonstrate that the market for corporate control is an important information source to resolve the uncertainties in technology valuation.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=85

Recent studies have revealed that commodity currencies provide currency risk premiums, attracting carry traders. However, currency risk premiums may disincentive financial and nonfinancial institutions from investing in countries with commodity currencies due to the negative expected returns of hedging with currency futures contracts. We investigate four different hedging strategies for managing exchange rate risk: full, partial, no and cross- hedging. The cross-hedging strategy consists of using commodity futures contracts to hedge exchange rate risk. Our main findings based on nine commodity countries is that for many risk aversions cross-hedging is the optimal hedging strategy for exchange rate risk.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=88

I investigate the dynamics of analyst forecast errors relative to economic policy uncertainty and find a significant positive relation between economic policy uncertainty and analyst forecast errors. A doubling of economic policy uncertainty is associated with a 4.29 percentage points increase in earnings (EPS) forecast errors, and the volatility and dispersion in analyst forecast errors are positively related to the economic policy uncertainty. Earnings forecast errors are higher for firms with higher sensitivity to the economic policy uncertainty, and the uncertainty factor retains its significance when compared to other risk factors. Additionally, firms with higher idiosyncratic risks show a higher sensitivity to the economic policy uncertainty.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFAPS2020&paper_id=89