We investigate the robustness of the long-run underperformance of initial public offering (IPO) and seasoned equity offering (SEO) firms from 1975-1992. The conclusion that issuer underperformance is unique is questioned by our results. We find that underperformance is largely concentrated in...

Chicago-based Morningstar rates the investment performance of mutual funds, assigning one to five stars with five being the best rating. This paper first documents the method that Morningstar uses in assigning these widely circulated ratings and then explores in detail the implications for the...

This paper examines the empirical evidence on the cost of equity trades for institutional investors. There is considerable practical and academic interest in the measurement and analysis of trading costs. We discuss some of the results that emerge from the recent literature on institutional...

In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other...

Evidence of structural breaks in the historical return distribution raises concerns about averaging a long series to estimate the current equity premium. Data before a break are relevant if one believes that large shifts in the premium are unlikely or that the premium is associated, to some...

Costs of equity for individual firms are estimated in a Bayesian analysis framework using several factor-based pricing models. Substantial prior uncertainty about mispricing often produces an estimated cost of equity close to that obtained with mispricing precluded, even for a stock whoses...

This article provides an overview of the empirical evidence on the magnitude and determinants of equity trading costs. The focus is primarily on the trades of institutional investors.