Several studies have found mean reversion in monthly stock returns over long horizons. However, these studies can be challenged for several reasons, including the neglect or possible misspecification of risk premia. The current paper analyzes daily Dow returns over short horizons, which obviates...

This paper investigates the systematic variation of stock price reactions to corporate capital budget announcements. We first use an event study methodology to measure the market's reaction to capital investment announcements. These reactions are then regressed upon measures of agency problems...