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Conference Paper: Bank Loan Undrawn Spreads and the Predictability of Stock Returns
| Title | Bank Loan Undrawn Spreads and the Predictability of Stock Returns |
|---|---|
| Authors | |
| Issue Date | 2018 |
| Publisher | Financial Management Association . |
| Citation | 2018 Financial Management Association Annual Meeting, San Diego, CA, USA, 10-13 October 2018 How to Cite? |
| Abstract | We document a new empirical finding that, in the cross-section, the information contained in bank loans’ forward-looking uncertainty measure can predict firms’ returns across a range of time horizons. This effect is separate from previously documented asset pricing puzzles related to idiosyncratic volatility, analyst forecast dispersion, and credit risk. We believe return predictability arises because banks have private information regarding firms’ future prospects including operating performance and cash flow uncertainty, and we indeed find the predictability of proxies of these two variables. A long-short strategy based on this finding can generate a significant alpha of over 7% per annum. |
| Description | Session 053: Return Predictability 1 |
| Persistent Identifier | http://hdl.handle.net/10722/278807 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Gu, L | - |
| dc.contributor.author | Ho, SW | - |
| dc.contributor.author | LI, T | - |
| dc.date.accessioned | 2019-10-21T02:14:24Z | - |
| dc.date.available | 2019-10-21T02:14:24Z | - |
| dc.date.issued | 2018 | - |
| dc.identifier.citation | 2018 Financial Management Association Annual Meeting, San Diego, CA, USA, 10-13 October 2018 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/278807 | - |
| dc.description | Session 053: Return Predictability 1 | - |
| dc.description.abstract | We document a new empirical finding that, in the cross-section, the information contained in bank loans’ forward-looking uncertainty measure can predict firms’ returns across a range of time horizons. This effect is separate from previously documented asset pricing puzzles related to idiosyncratic volatility, analyst forecast dispersion, and credit risk. We believe return predictability arises because banks have private information regarding firms’ future prospects including operating performance and cash flow uncertainty, and we indeed find the predictability of proxies of these two variables. A long-short strategy based on this finding can generate a significant alpha of over 7% per annum. | - |
| dc.language | eng | - |
| dc.publisher | Financial Management Association . | - |
| dc.relation.ispartof | Financial Management Association Annual Meeting, 2018 | - |
| dc.title | Bank Loan Undrawn Spreads and the Predictability of Stock Returns | - |
| dc.type | Conference_Paper | - |
| dc.identifier.email | Gu, L: oliviagu@hku.hk | - |
| dc.identifier.authority | Gu, L=rp01802 | - |
| dc.identifier.hkuros | 307583 | - |
| dc.publisher.place | United States | - |