Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. The authors study the...

Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. The authors study the...

We find that early exercise premiums of exchange-traded single-stock American puts, in excess of the GBM-world premium, can negatively predict future stock returns. Simulation evidence suggests that stock price jumps can positively drive the excess premium, while jumps can also negatively induce...

Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. We study the SAD...

Many studies report that American option investors often exercise their positions suboptimally late. Yet, when that can happen in case of puts, there is an arbitrage opportunity in perfect markets, exploitable by longing the asset-and-riskfree-asset portfolio replicating the put and shorting the...

In an increasingly technology-driven economy, CEOs' innovation leadership forms an essential part of companies' human capital. We find CEOs with superior innovation leadership, measured by their proven on-the-job innovation performance, are more popular on the directorship market. Through the...

Recent research has examined asymmetries in firms' adjustments toward target leverage. Assuming firms mainly adjust their debt levels, Byoun (Journal of Finance, 2008) finds that firms adjusting most quickly possess two important characteristics: above-target debt and a financing surplus. Using...

This paper empirically examines capital structure decisions in the presence of leverage dynamics and when corporate tax status and financial distress costs are allowed to be endogenous. We deal with the endogeneity of corporate tax by using a before-financing measure of the marginal corporate...

Using a new variable based on a model of dividend smoothing, we find dividend growth is highly predictable and cash flow news contributes importantly to return variability. Cash flow betas derived from this predictability are central to explaining the size effect in the cross section of returns....