I propose a new method to isolate a plausibly exogenous component of mutual fund flows in order to estimate the price impact of fire sales. The method addresses a potential reverse causality problem: instead of mutual fund outflows inducing fire sales, which drive down prices, poor stock returns...

The paper tests if the documented size effect in the Indian stock market is an anomaly with respect to market efficiency or an artifact with respect to data or methodology employed. The study employs two related datasets (one being held constant through the study period, the other being revised...

Effective capital budgeting decisions require reliable estimates of long-term expected returns. I extract a predictor for long-term returns from the book-to-market ratio by controlling for its variation associated with long-term expected profitability. The resulting predictor reliably describes...

The Total Return (TR), also called “return including dividends” and “Total Index Return” provides the theoretical return of a share, assuming that dividends are re-invested to purchase additional shares.The Total Return for All Shareholders (TRAS) is the return that all the shareholders...

We calculate the shareholder returns of the companies in the Euro Stoxx 50 in the period 2004 - April 2020. We analyze 62 companies: 47 that were in the Euro Stoxx 50 in April 2020 and had trading records since December 2004 and 15 companies that had been in the Euro Stoxx 50 in the period. In...

This study investigates the predictability of stock market returns using a novel corporate investment measure that captures the lumpiness of firm-level investment. We find that the proportion of firms with investment spikes ("spike") is a strong predictor of excess stock returns. Specifically,...

Investment-based asset pricing research highlights the role of irreversibility as a determinant of firms' risk and expected return. In a neoclassical model of a firm with costly scale adjustment options, we show that the effect of scale flexibility (i.e., contraction and expansion options) is to...

Salmon farming companies are increasingly gaining attention from investors and portfolio managers. The last decade has seen a substantial growth in the securitization of salmon farming assets and prices. A growing literature demonstrates that industry-specific fundamental, as well as market-wide...

Intangible assets have always been part of the economic landscape. In this study we examine the impact of intangibles, both internally developed and externally acquired, on our ability to identify differences in expected stock returns. Our research does not find compelling evidence that we...

We posit that a change in analyst interest in a firm is an early indicator of the firm's future fundamentals, capital market activities, and stock returns. We measure increases in analyst interest by observing analysts who do not cover a firm but participate in that firm's earnings conference...