We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

We investigate the validity and reliability of the bootstrap approach in fund performance evaluation by gauging the size. Monte Carlo simulations suggest that cross-sectional dependence may alter the size of this test and we propose a new panel bootstrap approach

We introduce a novel framework to predict the relative accuracy of sell-side analysts' annual earnings forecasts out-of-sample. Prior studies only evaluate forecasts shortly before the corresponding earnings release. In contrast, our study is the first to provide long-term predictions which are...

This study aims to improve the accuracy of estimated intrinsic value by the industry-specific valuation model. Different industries have unique characteristics. As such, they should be valued by different valuation models. This study offers a comprehensive overview of the characteristics of...

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.

This paper shows that preferences alone cannot explain the patterns reported in the literature.

Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the riskfree rate puzzle and the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are in fact...

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...