We document that the firm level hiring rate predicts stock returns in the cross-section of US publicly traded firms even after controlling for investment, size, book-to-market and momentum as well as other known predictors of stock returns. The predictability shows up in both Fama-MacBeth cross...

This paper shows that the systematic risk (or 'beta') of individual stocks increases by an economically and statistically significant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...

We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The term structure in our model is determined through the interaction of risk-averse arbitrageurs and preferred-habitat investors with preferences for...

We show that the level of interest rates determines the magnitude of mispricing at the turn of the tax year, as investors face the trade-off between selling a temporarily-depressed stock this year and selling next year, but delaying tax implications by one year. Interest rates do explain the...