Enough bloggery - back to work.
We were just talking in class about the "neglected firm" effect, where firms with less (or no) analyst coverage earn higher risk-adjusted returns. CXO Advisory Group just highlighted a paper on a variant of this phenomenon. In "Media Coverage and the Cross-Section of Stock Returns", Fang and Peress find "stocks with no media coverage outperform stocks with high media coverage, rebalanced monthly, by 0.23% per month (3% per year) after adjusting for market, size, book-to-market, momentum and liquidity factors.
And in another piece, CXO reports on a paper by Hur and Sharma titled "Stock Market Returns and Size Premium". This paper indicates that the "Size Premium" (where smaller firms earn abnormal risk-adjusted returns is driven by down markets. In other words, small firms earn a "fair" risk adjusted return in up markets, buy have positive risk adjusted returns in down markets.
Private Equity and Corporate Finance:
The Wall Street Journal reports on the increasing trend where companies use leveraged recapitalizations as "do it yourself LBOs" in "How Borrowing Yields Dividends For Many Firms" (note: online subscription required).
For those who can't get enough of the world of Private Equity, there's a blog called BlogginBuyouts (HT: Abnormal Returns)
David Tufte at VoluntaryXchange links to the Movie Cliche of The Day