Joint ventures afford unique opportunities to study how firms assert property rights over jointly used assets because parents clearly delineate control. We argue that ownership allocations trade off investment incentives with control-related inefficiencies. We show how residual control rights...

This paper proposes a new method to form basis assets with which to represent investors' opportunity sets and evaluate the goodness-of-fit of asset pricing models. We use return correlations to form a measure of distance between securities, as in Ormerod and Mounfield (2000), and use this...

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion of zero daily firm returns, averaged over the month. We...

A substantial literature in institutional herding examines reasons for and evidence of correlated trading across institutional investors, but little has been written about the extent to which individual investor trading is correlated or why. We document that the trading of individuals is highly...

We analyze consumption and portfolio behavior in a life-cycle model with realistic borrowing costs and income processes. We show that even a small wedge between borrowing costs and the risk-free return dramatically shrinks the demand for equity. When the cost of borrowing equals or exceeds the...

This paper investigates whether investors were compensated for the tax burden of equity securities over the time period between 1913 and 2006. Effective tax rates on equity securities vary over time due to changes in tax rates on dividends and capital gains and due to changes in corporate payout...

I present a simple model of informed trading in which asset values are derived from imperfectly competitive product markets and private information events occur at individual firms. The model predicts that informed traders may have incentives to make information-based trades in the stocks of...

In light of renewed interest in the relation between shareholder protection and control arrangements, we thoroughly review the optimality of one-share one-vote (1S1V). The issue is what set of rules the entrepreneur will put in place, re take-overs, so as to maximize the IPO value of the firm....

This paper questions the CAPM's assumption of global risk-aversion. I develop an expected return-risk framework that allows tests of restrictions on marginal utility conditional on the states-of-the-world. Empirical tests using monthly stock returns data show a decreasing marginal utility from...

We investigate the role of quot;arbitrageurs,quot; who exploit price discrepancies between redundant securities. Arbitrage opportunities arise endogenously in an economy populated by rational, heterogeneous investors facing investment restrictions. We show that an arbitrageur alleviates these...