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Does the Market Misprice Companies’ “Strategic Alternatives” Announcements?

Reynolds Holding

FEBRUARY 5, 2023

This is direct evidence that the announcement causes expectations of firm value to be biased upward. The subsamples with higher announcement returns, which reflect greater market expectations, experience negative future returns. The abnormal returns may be rational compensation for risk.

Marketability 59
Marketability Alpha Equity Firm Value 59
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Data Update 1 for 2024: The data speaks, but what does it say?

Musings on Markets

JANUARY 5, 2024

Since I am lucky enough to have access to databases that carry data on all publicly traded stocks, I choose all publicly traded companies, with a market price that exceeds zero, as my universe, for computing all statistics. Costs of equity & capital 4. Costs of equity & capital 1. Book Value Multiples 3.

Dividends 100
Dividends Risk Premium Equity Book Value 100
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