Recent asset pricing research claims that quot;real optionsquot; models generate dynamic risks related to firm investment policy and provide a rational explanation for size and value effects. We examine the empirical success of these dynamic beta models using both simulations and data from U.S....

Recent asset pricing research claims that quot;real options'quot; models generate dynamic risks related to firm investment policy and provide a rational explanation for size and value effects. We examine the empirical success of these dynamic beta models using both simulations and data from U.S....

The link between asset valuations and investor sentiment is the subject of considerable debate in the profession. We address this question by examining how survey data on investor sentiment relates to i) long-horizon returns, and ii) asset valuations. If excessive optimism drives prices above...

We investigate investor sentiment and its relation to near-term stock market returns. We find that many commonly-cited indirect measures of sentiment are related to direct measures (surveys) of investor sentiment. However, past market returns are also an important determinant of sentiment....

We use transaction-level data and decompose the US equity premium into day (open to close) and night (close to open) returns. We document the striking result that the US equity premium over the last decade is solely due to overnight returns; the returns during the night are strongly positive,...

Many investors were upset with the losses they experienced by following the recommendations of stock analysts during the recent market downturn. Allegations that these recommendations were often tainted by investment banking relationships fueled their anger. This study examines the investment...