This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...

This study investigates if changes in risk-neutral systematic volatility, skewness, and kurtosis, are priced, either symmetrically or asymmetrically, as systematic risk factors in the cross-section of stock returns. The moments are constructed using options on the S&P 500, and represent...

In questioning Kamstra, Kramer, and Levi's (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due...

We examined the return comovement of popular value-oriented investment strategies inside and outside equity. There are two distinct groups among the strategies that we examined. The returns of strategies within a group move together, while the returns of strategies belonging to different groups...

High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. I find that high-frequency trading is positively...

Do managers exercise accounting discretion in an opportunistic or efficient manner? Good governance structures, which mitigate agency costs, are necessary to ensure that the accounting information supplied by management is not opportunistically manipulated. The output of quality accounting...

This paper provides an explanation of investing in stock market anomalies in an expected utility paradigm. Classical selection rules fail to provide a preference for high expected return portfolios. The paper utilizes the almost dominance rules to examine the practice of investing in size,...

This paper provides an explanation of investing in stock market anomalies in an expected utility paradigm. Classical selection rules fail to provide a preference for high expected return portfolios. The paper utilizes the almost dominance rules to examine the practice of investing in size,...

Assuming a symmetric relation between returns and innovations in implied market volatility, Ang, Hodrick, Xing, and Zhang (2006) find that sensitivities to changes in implied market volatility have a cross-sectional effect on firm returns. Dennis, Mayhew, and Stivers (2006), however, find an...

This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and...