This paper brings structural modeling to the literature on financial research in marketing. I estimate a dynamic investment-based model to understand the impact of advertising expenditures on stock returns and firm value. In addition, by interpreting advertising expenditures as an investment...

We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average levered investment returns to average observed stock...

We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average levered investment returns to average observed stock...

We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance...

In this paper, we assess the interaction between international firms' stakeholder performance and their stock market returns. Using data from more than 2,000 firms from 24 countries and 15 industries for the period 2003-2007, we analyze stakeholder performance for firms in different...

Sell-side analysts change their stock recommendations when their valuations differ from the market's. These valuation differences can arise from either differences in earnings estimates or the non-earnings components of valuation methodologies. We find that recommendation changes motivated by...

This paper examines the relationship between asymmetric information and target returns in M&As. We argue that if managers possess favorable (unfavorable) asymmetric information, they will offer, ceteris paribus, high (low) premia, affecting target returns accordingly. We propose several proxies...

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...

Diether, Lee, and Werner (2009) show that, in general, short sellers are contrarian in both contemporaneous and past returns and able to impressively predict future returns, this study examines these trading characteristics during both the trading day and the after-hours period. Interestingly,...

In this paper, we construct an information asymmetry factor (VECINF) based on the price discovery of large trades. VECINF is significantly negatively correlated with market excess return, indicating that market-wide information asymmetry is lower in bull markets, which is consistent with the...