A reverse merger allows a private company to assume the current reporting status of another company that is public. This can be done quickly, without fundraising, road show, underwriter, substantial ownership dilution, or great expense. Private firms that go public via reverse merger are often...

We study 6,686 IPOs spanning the period 1981-2005 and find that the new issues puzzle disappears in a Fama-French three-factor framework. IPOs do not underperform in the aftermarket on a risk-adjusted basis and do not underperform a matched sample of non-issuers. IPO underperformance is...

This paper examines a model of short-term interest rates that incorporates stochastic volatility as an independent latent factor into the popular continuous-time mean-reverting model of Chan et al. (1992). I demonstrate that this two-factor specification can be efficiently estimated within a...

We examine gross fund returns based on the number of securities held and find no evidence that focused funds outperform diversified funds. After deducting expenses, focused funds significantly underperform. Controlling for various fund characteristics, fund performance is positively related to...

Abundant evidence indicates that financial asset returns are thicker-tailed than a normal distribution would suggest. The most negative outcomes which carry the potential to wreak financial disaster also tend to be the most rare and may fall outside the scope of empirical observation. The...

Cybersecurity breaches may be correlated due to geography, similar infrastructure, or use of a third-party contractor. We show how a copula model may be used to estimate the probability of an attack where breaches may be correlated among firms. Losses arising from cybersecurity breaches have an...

We examine the timing ability of mutual fund investors using cash flow data at the individual fund level. Over 1991-2004 equity fund investor timing decisions reduce fund investor average returns by 1.56% annually. Underperformance due to poor timing is greater in load funds and funds with...

Does the quot;smart moneyquot; effect documented by Gruber (1996) and Zheng (1999) reflect fund selection ability of mutual fund investors? We examine the finding that investors are able to predict mutual fund performance and invest accordingly. We show that the smart money effect is explained...

After the Nasdaq and AMEX merged in 1998, officials of the new entity argued that some quot;smaller, harder to tradequot; companies on Nasdaq should switch to AMEX to improve liquidity. This recommendation is based on the traditional view among academics and practitioners alike that a...

Stock market reactions to cybersecurity breach announcements are generally negative. In virtually all cases, information asymmetry exists between firm management and investors between the date of cybersecurity breach discovery and the public announcement of the breach. We find significant...