Do equity investors care about pay dispersion and income inequality? We address this question by examining equity markets' reaction and investors' portfolio rebalancing in response to the first-time disclosure by U.S. public companies of the ratio of CEO to median worker pay in 2018. We find...

Using monthly and quarterly cross-sectional dispersion in firm level earnings news as a proxy for investor uncertainty about the implications of current aggregate earnings for future discount rates, I find that higher investor uncertainty leads to a lower stock market reaction to aggregate...

The literature on ‘cash flow' or ‘earnings' beta is theoretically well-motivated in its use of fundamentals, instead of returns, to measure systematic risk. However, empirical measures of earnings beta based on either log-linearizing the return equation or log-linearizing the clean-surplus...

This paper uses individual-level data linking stock investments to work performance to examine how changes in stock market wealth affect worker output. Exploiting large return variations over time and across investors, we document a 10% increase in monthly stock investment returns is associated...

During decades, tests have been developed to verify whether the beta is the best tool to explain the returns of securities on the stock market. Moreover, the value of the beta and its coefficient of determination (R-squared) vary with different parameters used for estimating the beta. In this...