A conjecture in the literature holds that a large and diversified investor base leads to lower volatility by improving the quality of the price signal. In this paper this hypothesis is examined using unique Swedish ownership data. The data does not support the conjecture. Instead, volatility...

Using data from a decade of surveys of corporate managers, I find evidence that firms with higher expected stock returns have a higher perceived cost of equity and use higher discount rates in capital budgeting. Variation in expected stock returns, as measured by exposure to equity risk factors,...

We analyze the stock market return predictability for three different periods. We evaluate the conditional variance (CV) and the variance risk premium (VRP) as predictors of stock market returns for which we are using well-established versions of the heterogeneous auto-regressive (HAR) model and...

This research aims to solve the ambiguities that arise from stock risk estimation of an emerging market. Risk is not defined as variability but as a possibility of loss or of a weaker than market performance. Stock risk is estimated through the analysis of the underlying business, respectively...

This study examines the effect of foreign (Anglo-American) board membership on corporate performance measured in terms of firm value (Tobin's Q). On a basis of firms with headquarters in Norway or Sweden the study indicates a significantly higher value for firms that have outsider Anglo-American...

The purpose of this paper is to investigate the stochastic behavior of corporate debt ratios utilizing a balanced panel of 2,556 publicly traded US firms during the period 1997 - 2010. We partition the panel into ten economic sectors and perform panel unit root tests on each sector employing...

We show theoretically and empirically that executives are paid less for their own firm's performance and more for their rivals' performance if an industry's firms are more commonly owned by the same set of investors. Higher common ownership also leads to higher unconditional total pay. We...

The objective of this study is to investigate the factors affecting firm competitiveness in an emerging market-Turkey. In the paper, competitiveness is proxied by a firm's financial performance. The empirical analysis is based on firms listed on Borsa Istanbul and covers the period between 2005...

Recent empirical work using panel data documents that, while the correlation of investment and Tobin's Q is low, the correlation of investment and credit spreads is high. We propose an explanation for these empirical findings, based on time-varying risk, i.e. stochastic volatility. In our model,...

This study analyzes the relation between CEO personal risk-taking, managerial risk-taking and total firm risk. We find evidence that CEOs who possess private pilot's licenses, our proxy for personal risk-taking, are associated with riskier firms. Firms led by CEO pilots have higher equity return...