An unresolved issue in empirical research on corporate control is the extent to which takeovers improve target and bidder firm value. We provide estimates of value improvements that avoid the bidder-revelation bias present in previous studies. Our approach, the intervention method, is based on a...

The model examines the underlying spot market determinants of hedging and risk premia. The analysis takes into account spot market clearing, quantity and price variability, stock market portfolio opportunities, diverse output distributions of producers, demand and supply shocks, and supply...

An informational cascade occurs when it is optimal for an individual, having observed the actions of those ahead of him, to hollow the behavior of the preceding person without regard to his own information. Among the phenomena that can be explained by informational cascades are conformism at...

We provide a model in which irrational investors trade based upon considerations that are not inherently related to fundamentals. However, because trading activity affects market prices, and because of feedback from security prices to cash flows, the irrational trades influence underlying...

We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French. According to rational...

"I propose here the psychological attraction theory of financial regulation - that regulation is the result of psychological biases on the part of political participants - voters, politicians, bureaucrats, and media commentators; and of regulatory ideologies that exploit these biases. Some key...

This paper examines whether the firm-level accrual and cash flow effects extend to the aggregate stock market. In sharp contrast to previous firm-level findings, aggregate accruals is a strong positive time series predictor of aggregate stock returns, and cash flows is a negative predictor. In...

Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relationship between morning sunshine in the city of a country's leading stock exchange and daily market index returns across 26 countries from 1982 to 1997. Sunshine is...