In this paper, we investigate whether shocks to real estate markets constitute an important state variable in the context of the Intertemporal Capital Asset Pricing Model (ICAPM) and, hence, explain the cross-sectional variation in average returns of the 25 Fama-French portfolios sorted on size...

In this paper, we investigate the long term performance of rival companies related to acquisition targets. Using a sample of 2,511 deals from 1985 to 2005, we document an under-reaction of capital markets to the information contained in Mamp;A announcements. Following 6,138 large rival gain...

Cohen and Frazzini (2008) examine economically linked firms and document widespread cross-asset return predictability at monthly horizons, specifically from customers to their suppliers. They argue that limited investor attention is responsible for their results. We extend this investigation to...

This paper documents a strong and prevalent drift in long-term industry returns after Mamp;A announcements. Specifically, industries that experience positive average announcement reactions continue to do well in the future, while industries that experience negative average announcement reactions...

The objective of this study is to investigate the dynamics within merger waves. For a sample of 1025 bids that occur in 18 industry merger waves, we measure how the returns to bidders and rivals change, as a wave is ongoing. In the first half of a wave, bidders (rivals) experience an average...