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...

Previous empirical studies find both evidence of jumps in asset prices and that returns standardized by `realized volatility' are approximately standard normal. These findings appear to be contradictory. Using a sample of high-frequency returns for 20 heavily-traded US stocks, we show that...

This study examines evidence of instability in models of ex post predictable components in stock returns related to structural breaks in the coefficients of state variables such as the lagged dividend yield, short interest rate, term spread and default premium. We estimate linear models of...