We examine share repurchase activity in the United Kingdom over a period when the tax and regulatory environment changed drastically. We find that the form and intensity of repurchase activity in the United Kingdom is influenced by the tax consequences for pension funds. We also find that firms...

Researchers have documented an abundance of evidence that stock returns are predictable ex post facto. In this study, we address the ex ante predictability of the cross section of stock returns by investigating whether a real-time investor could have used book-to-market equity, firm size, and...

We show that out-of-sample tests used in the time-series predictability literature may suffer from test size problems related to the common practice of exogenous specification of critical parameters, such as the choice of predictive variables, traded assets, and in-sample estimation periods. We...