Most of the market microstructure literature has focused on the liquidity of individual securities, whereas most of the asset pricing literature has focused on the association between systematic risk and return. We document the presence of a systematic, time-varying component of liquidity. At...

This paper analyzes how a horizon date affects valuation. We focus on valuation errors that arise because of the horizon, and we assess the magnitudes of such errors. A model due to Ohlson (1995) specifies the information environment. Forecasting of future financial outcomes depends on two kinds...

We examine how financial analysts and equity investors incorporate information on deferred taxes from carryforwards into earnings forecasts and share prices, respectively. We focus on carryforwards because in providing this information each period, management must use their private information...

This paper evaluates the welfare implications of front-running by mutual fund managers. It extends the model of Kyle (1985) to a sitaution in which the insider with fundamentals-information competes against an insider with trade-information and in which noise trading is endogenized.

We evaluate the contribution of analysts' earnings forecasts to investors' decisions by comparing the association between annual excess returns and a broad set of information items derived from financial statements with the association between excess returns and that information set plus the...

The European Strategic Program for Research in Information Technologies (ESPRIT) is by far the largest of the Research and Technological Development (RTD) Programs established by the European Commission. It is scheduled to last 15 years and has involved over 9000 organizations of various type...