We explore the role of corporate insiders vs. firms as traders of last resort. We develop a simple model of insider trading in which insiders provide price support, as well as liquidity, in security markets. Consistent with the model predictions we find that in the US markets insiders' trading...

Investors who follow different tenets of social responsibility and choose different socially responsible mutual funds can be described as members of different religions. Some social responsibility religions have a single tenet, such as protection of the environment, while other social...

This paper documents predictable time-variation in the real return beta of U.S. Treasury inflation protected securities (TIPS) and in the Sharpe ratios of both indexed and conventional bonds. The conditional mean and volatility of both bonds and their conditional correlation are first estimated...

The Securities and Exchange Commission's disclosure philosophy has largely focused on a single model: the publicly held corporation. From its inception, the SEC's disclosure framework for mutual funds has been a relative backwater and based largely on the disclosure framework for publicly held...

This article analyzes investor beliefs as to stocks, the inadvertent role government plays in shaping those beliefs and thereby contributes to a rise in stock prices, and the need for government quot;neutralityquot; among investor belief systems. It suggests that, contrary to conventional...

This paper documents predictable time-variation in the real return beta of U.S. Treasury inflation protected securities (TIPS) and in the Sharpe ratios of both indexed and conventional bonds. The conditional mean and volatility of both bonds and their conditional correlation are first estimated...

A number of empirical studies have reached the conclusion that stock price volatility cannot be fully explained within the standard dividend discount model. This paper proposes a resolution based upon a model that contains both a random supply of risky assets and finitely lived agents who trade...

Empirical immunization studies have considered the efficacy of immunization strategies in which the durations of assets and of liabilities are equated against a strategy involving maturity matching. However all these studies have ignored tax effects. In the presence of tax-clientele effects...

This paper investigates abnormal performance following seasoned equity offering on Tunisian stock market. Our purpose is to test whether the prospect theory as proposed by Kahneman and Tversky (1992) explain the negative abnormal performance observed following seasoned equity offering in...

Disagreement is a key factor inducing trading, which has been receiving ever-increasing attention in recent years. Most research has focused on disagreement about the expected returns. Several authors have shown that if the average belief coincides with the true expected return in the portfolio...