Kosowski, Timmermann, Wermers, and White (2006) find that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of 3,181 US growth-oriented equity mutual funds over the period...

Recently developed corporate bankruptcy prediction models adopt a contingent claims valuation approach. However, despite their theoretical appeal, tests of their performance compared with traditional simple accounting-ratio-based approaches are limited in the literature. We find the two...

Purpose – This paper aims to help explain the rapid growth in aggregate hedge fund assets under management until June 2008 followed by their subsequent dramatic collapse in terms of the conflicting emotions such investment vehicles evoke, and, from this, to consider the implications of the...

This study explores whether security analysts recognize firms’ going-concern problems and report appropriately to investors. We find that analysts signal their anticipation of the publication of a going-concern modified (GCM) audit report in two ways: 1) they downgrade more aggressively stock...

"This paper brings together the evidence on two asset pricing anomalies-continuation of prior returns (momentum) and the market mispricing of distressed firms-using UK data. Our analysis demonstrates both these effects are driven by market underreaction to financial distress risk. In particular,...

Recent studies suggest that certain growth-oriented fund managers have substantial skill but do not stipulate the particular skills that they possess. We examine in detail the style-timing abilities of growth-oriented equity mutual funds over the period from 1993 to 2006. We find that an...