Estimates of maximum obtainable Sharpe ratios associated with prominent multifactor models are difficult to reconcile with risk-based economic models. We provide evidence that this arises due to optimistic bias driven by a combination of data snooping and publication-induced learning about...

We analyze the characteristics of transactions in a comprehensive set of mergers and acquisitions based on SDC data from 1992 through 2009. We do not impose restrictions found in previous empirical work such as excluding private bidders, small targets or those deals with no target value...

This article has two related tasks. First, we review the articles published in this Special Issue on Corporate Control, Mergers, and Acquisitions. These articles provide new evidence on several aspects of corporate control and governance including the value and performance effects of various...

The most important development in international corporate governance in the past 20 years has been the privatization of state-owned enterprises. There is evidence that privatization has resulted in improved firm performance but the source of this improvement is difficult to isolate. We argue...

We characterize jump dynamics in stock market returns using a novel series of intraday prices covering over 80 years. Jump dynamics vary substantially over time. Trends in jump activity relate to secular shifts in the nature of news. Unscheduled news often involving major wars drives jump...

This paper addresses the economic value of estimated portfolio rules under general utility. Incorporating estimation risk magnifies errors associated with mean-variance approximations to the economic value of portfolio rules. In fact, for some preference specifications, including CRRA utility,...

We compare the accuracy of cost of equity estimates based on leading factor models to two simple alternatives: the asset mean and the market mean. The market mean proves to be a serious competitor to traditional implementations of factor models even if the underlying factor model is true....

We show that there is strong commonality in the volatility of a wide range of diversified equity portfolios. Common factor volatility (CFV) exists even when factor or anomaly returns are market-adjusted and does not appear to be attributable to common microstructure noise or a lack of...

Several recent studies have documented a significant decline in the propensity to pay dividends over the past 30 years. However, dividends are only one component of a firm's payout policy and it is unclear whether the proportion of firms making net positive payments to shareholders has also...