We study the pricing effects of dividend and earnings announcements by taking advantage of the unique setting in Japan where managers simultaneously announce the current year's dividends and earnings as well as forecasts of next year's dividends and earnings. Defining surprises as deviations...

Beta, as measured by the Capital Asset Pricing Model (CAPM), is widely used for pricing stocks, determining the cost of capital, and gauging the extent to which markets are integrated. The CAPM model assumes that equilibrium conditions prevail. The choice of which market portfolio to use in the...

The story of the panic and crash of 1907 suggests that major financial crises can be the result of a convergence of certain market forces-forces of the market's "perfect storm," if you will-that cause investors and depositors to react with alarm. The storm begins with a highly complex financial...