The on-going debate over whether fund managers have skills and whether those skills are short-lived is still inconclusive. Using the performance measure that can't be manipulated with respect to the underlying distribution, time variation, nor estimation error, (the manipulation-proof...

Evidence is scarce and inconclusive on the announcement effect of dividend changes on bondholders due to poor quality and availability of bond price data. This paper fills this gap using daily bond transaction data from the over-the-counter market. Most of my results are more consistent with the...

We document evidence that mutual funds, on average, are averse to investing in tax-avoiding firms, which seems anomalous given mutual fund managers' incentive structure. Our results remain unchanged when we address endogeneity concerns using several methods, including identification through...

Firms with lower levels of disclosure hold more private information and thereby generate undiversified risk. This paper investigates the effect of discretionary disclosure of customer identities on average stock returns. Using a data set of firms' principal customers, we find a negative...

We find that the acceleration and deceleration patterns of historical prices are predictive of future expected returns in momentum investing in the U.S. equity market from 1962 to 2014. Winners with accelerated historical price increases deliver higher future expected returns and losers with...