We compare the structure and performance of private (non-GSE) mortgage-backed securities sold by large issuers vs. those sold by small issuers over the period 2000-2006. Securities sold by large issuers have less subordination — a greater fraction of the deal receiving AAA rating — than...

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

We shed new light on the negative relationship between real stock returns or real interest rates and (i) ex post inflation, (ii) expected inflation, (iii) unexpected inflation and (iv) changes in expected inflation. Using the structural vector autoregression methodology, we propose a...

Most countries compete for investments from abroad, whether the investment is made directly in the form of new ventures or indirectly through the shares of existing firms that are publicly traded. Both higher returns and lower volatility can attract a higher market share of global stock...

We present a competitive model of takeovers that explains two robust features of the data: target premia and size-dependent bidder returns. Takeovers are driven by complementarity between two factors, non-tradeable "skill" and a tradeable "project". Firms are heterogeneous in both dimensions....

The event study is an important methodology in management research that enables the assessment of value attributable to firm initiatives based on the responses of capital markets to news about firm actions. While capital markets are efficient in processing information about firms, their ability...

A common belief among academicians and practitioners is that a company’s strategy should be aligned with its customers' value drivers to deliver superior financial performance. Yet, extant literature lacks 1) an objective measure of strategy-customer alignment, 2) empirical research linking...

We find that the weather induced local employment growth surprises are positively related to the cross section of future local stock returns for up to three months without subsequent reversals. In comparison, neither weather nor reported employment growth can predict future returns. This return...

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...