The recent Ninth Circuit decision in Miller v. Thane International, Inc. is a significant innovation that brings legal precedent regarding market efficiency more in line with current thinking in financial economics. Prior to Thane there was a tendency for courts to view financial markets as...

One of most significant empirical findings in the behavioral finance literature is that investor sentiment affects asset prices. However, the mechanism by which sentiment affects asset prices is not well understood. Individuals are widely believed to be more influenced by sentiment than other...

We develop a new theory of delegated investment whereby managers compete in terms of composition of the portfolios they promise to acquire. We study the resulting asset pricing in the inter-manager market. We incentivize investors so that we obtain sharp predictions. Managers are paid a fixed...

One of the prime pieces of evidence supporting the hypothesis that expected stock returns vary over time is that regressions of future returns on dividend-price ratios are highly significant, but future dividend growth is unrelated to the ratio. This paper presents another interpretation of...

In this paper, we empirically examine whether there is evidence to support the hypothesis that a size premium is impounded in valuation multiples. Overall, we find essentially no evidence to support the hypothesis. One interpretation of this finding is that there is no size effect in current...

In this paper, we develop an enhanced corporate valuation model based on the implied cost of equity capital (ICC). We argue that the enhanced approach extends the standard market multiples and discounted cash flow (DCF) approaches to corporate valuation. Specifically, it incorporates positive...

Aside from the decision to enter the equity market, the most fundamental question an investor faces is whether to passively hold the market portfolio or to do investment research. This thesis of this paper is that there is no scientifically reliable procedure available which can be applied to...

In his 2008 letter to Berkshire shareholders, Warren Buffett presented a critique of the Black-Scholes option pricing model as a tool for valuing long-dated options, including options that Berkshire had written. Given Mr. Buffett's track record, it worth investigating precisely why he thinks...

In the last decade, companies have come under pressure to be socially conscious and environmentally responsible, with the pressure coming sometimes from politicians, regulators and interest groups, and sometimes from investors. The argument that corporate managers should replace their singular...