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Journal Article

Overinvestment of Free Cash Flow

This paper focuses on using accounting information to better explain the relationship between free cash flow and overinvestment.

Journal Article

Stock-Bond Correlations

The correlation between stock market and government bond returns was positive through most of the 1900s, but negative in the early 1930s, the late 1950s, and recently.

Journal Article

Stock Market Anomalies: What Can We Learn From Repurchases and Insider Trading?

In this paper, we examine whether managers’ trading decisions (both at a firm and personal level) are correlated with trading strategies suggested by the operating accruals anomaly and the post-earnings announcement drift (also known as the standardized unexpected earnings, or SUE) anomaly.

Journal Article

Valuation in Over-the-Counter Markets

We document the impact on asset prices of search-and-bargaining frictions in over-the-counter markets.

Journal Article

The Market for Borrowing Stock

This paper describes the cost and ability to short stock in terms of prices and quantities determined by an active securities lending market.

Journal Article

The Relation Between Corporate Financing Activities, Analysts’ Forecasts and Stock Returns

This paper looks at the negative relation between external financing activities and future stock returns.

Journal Article

The Role of Shorting, Firm Size and Time on Market Anomalies

The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.

Journal Article

The Stock Price Response to Pension Terminations and the Relation of Terminations With Corporate Takeovers

This article offers observation on the stock price response to pension terminations and the relation of terminations with corporate takeovers in the U.S.

Journal Article

Theoretical Foundations II

Historically, high price-to-earnings ratios (P/Es) have led to low returns in the stock market, and low P/Es have led to high returns.

Journal Article

Time Variation in the Equity Risk Premium

The equity risk premium (ERP) refers to the expected (and sometimes realized) return of a broad equity index in excess of some fixed-income alternative.