This paper examines whether investor sentiment about the stock market affects prices of the Samp;P 500 options. I find that the index option volatility smile is steeper (flatter) and the risk-neutralskewness of monthly index return is more (less) negative when market sentiment becomes more...

I develop an interest rate model with separate factors driving innovations in bond yields and their covariances. My model features flexible and tractable affine structure for the covariances of bond yields. Maximum likelihood estimation of the model with panel data on swaptions and discount...

Eleven percent of the largest public U.S. firms are headed by the CEO who founded the firm. Founder-CEO firms differ systematically from successor-CEO firms with respect to firm valuation, investment behavior, and stock market performance. Founder-CEO firms invest more in Ramp;D, have higher...

Consistent with prior literature, we find that increases in target leverage have a positive impact on returns to target shareholders irrespective of the source of debt. Even so, financing with bank debt has a remarkably different impact. If a target firm's debt is primarily sourced from banks,...

Uncertainty about management appears to affect firms' cost of borrowing and financial policies. In a sample of S&P 1500 firms between 1987 and 2010, CDS spreads, loan spreads and bond yield spreads all decline over the first three years of CEO tenure, holding other macroeconomic, firm, and...

We provide a model in which irrational investors trade based upon considerations that are not inherently related to fundamentals. However, because trading activity affects market prices, and because of feedback from security prices to cash flows, the irrational trades influence underlying cash...

We offer a model to explain why groups of people sometimes converge upon poor decisions and are prone to fads, even though they can discuss the outcomes of their choices. Models of informational herding or cascades have examined how rational individuals learn by observing predecessors' actions,...