We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We...

We theoretically and empirically investigate the role of information on the cross-section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We...

We derive a conditional CAPM in a general equilibrium model where investors face estimation-risk on mean returns, and learn from information of uncertain quality or precision. In equilibrium, the loading on market risk augments the standard beta with the random or information-dependent...

Miller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis have examined the valuation effects of only one of these two necessary conditions. We examine the...

We examine the long-term stock performance following the initiation and resumption of stock dividends during the period from 1927 to 1998. We show that the post-announcement abnormal returns are significantly positive for equally weighted calendar time portfolios, but become insignificant when...

We analyze the one- to five-year post-announcement stock performance of firms that either initiate cash dividends or resume the payment of cash dividends after a hiatus in payments. Both the event-window and long-run abnormal stock returns are significantly positive, suggesting that the market...