This paper develops an analytically coherent yet parsimonious framework which explains market returns in terms of contemporaneous information. It anchors on the idea that valuation (static perspective) can be connected to the dynamics that explains returns, and vice versa. The framework requires...

In an environment where capital market participants collectively possess superior information about a decision faced by a firm manager, we use an experimental market to analyze the effectiveness with which the market communicates this information to the manager through stock price. We do so in a...

Research has shown that a firm's reputation influences the amount investors are willing to pay for that firm's securities. Therefore, securities of firms with a good reputation should be valued higher than firms with a poor reputation, ceteris paribus. In this study, we use event study...

In this paper, we employ econometric techniques to examine the impact of political variables on investor sentiment, stock market returns, and the covariance between investor sentiment and equity returns. Similar to prior studies our results indicate that stock market returns are higher during...

As part of the SEC's revision of Regulation S-K, many investors proposed the mandatory disclosure of sustainability information in the form of environmental, social and governance (ESG) data. However, progress is contingent on collecting evidence regarding which sustainability disclosures are...

Most prior event studies find that the announcement of a new alliance is accompanied by a positive stock market response for the partners. This result has usually been interpreted as evidence for the prevailing view that alliances are effective vehicles for partners to acquire or access new...

We introduce a new methodology to categorize institutional herding tendency and direction, that enhances the precision with which herders are identified at the institutional level. The herders are the ones that follow the crowd both on the buy and sell trades, whereas anti-herders are the...

With the introduction of easy computerized trading platforms and online trading, intraday trading has been widely used by novices as well as individual investors, in addition to professional traders and investors. People are lured to intraday trading, due to quick gains (results) from it. Today,...

One of the most conspicuous features of mergers is that they come in waves that are correlated with increases in share prices and price/earnings ratios. We use a natural way to discriminate between pure stock market influences on firm decisions and other influences by examining merger patterns...

Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama-MacBeth regressions to determine whether overinvestment...