Analytical descriptions of tournament selection efficiency properties are elusive for realistic tournament structures. For example, with more than four competitors, there are very few robust analytical tournament selection efficiency measures. Combining a Monte Carlo simulation with a...

The underlying economic sources of volatility clustering in asset returns remain a puzzle in financial economics. Using daily equity returns, we study variation in the volatility relation between the conditional variance of individual firm returns and yesterday's market return shock. We find a...

We show there is a much stronger negative dynamic relation between changes in economic uncertainty and Treasury yields over weaker-economic times since at least 1990. We document this economic-state variation in uncertainty-yield dynamics for weekly and monthly change horizons, for nominal...

We investigate bivariate regime‐switching in daily futures‐contract returns for the US stock index and ten‐year Treasury notes over the crisis‐rich 1997–2005 period. We allow the return means, volatilities, and correlation to all vary across regimes. We document a striking contrast...

The FTAIA should be repealed. Times have changed since its passage in 1982. Today it is offensive to provide immunity to U.S. businesses for price fixing overseas while the USDOJ seeks to jail foreigners who fix prices that affect U.S. commerce. But, since Motorola Mobility v. AU Optronics will...

Over the period 1970-2015, investment returns were enhanced by merely knowing concurrently whether the economy was in a state of expansion or contraction, and making the most basic asset allocation decision of whether to be in stocks or bonds. In the United States, an annual excess return of...

We test whether the well-documented post-earnings-announcement drift is a manifestation of an investor underreaction or overreaction to extremely good or bad earnings news. Using the market reaction to extreme earnings surprises (i.e., SUE) in quarter Qt as a reference point, we show that firms...

I estimate the extent to which mutual fund portfolio trading of securities is triggered by investor flows into and out of the funds, and find that this liquidity-induced portfolio trading activity is smaller than previously estimated by Edelen (1999). Estimates are obtained from a much larger...

The purpose of this study is to determine whether the composition of a company’s audit committee affects decisions by retail (non-institutional) investors. We examine if these investors’ confidence in reported earnings is affected by the number of committee experts under the U. S. Securities...