This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

During the recent financial crisis, there was a dramatic spike, across all industries, in the volatility of individual firm share prices after adjustment for movements in the market as a whole. In this Article, we demonstrate that a similar spike has occurred with each major downturn in the...

The aim of this survey is to review the most prevailing developments regarding the existence of the closed-end funds’ discounts and premiums and the factors which generate them. Despite the plethora of academic research conducted in order to reach a generally accepted explanation of the...

This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...

This paper studies the behavior of REIT stock price synchronicity for the years 1997 through 2007. Theory suggests that REIT stock prices should be largely independent of market changes; and, at the very least, REITs should have a low covariance with other assets, including other REIT stocks....

Entries and exits are often triggered by substantive private information, and we propose PC_NII, the percentage change in the number of a stock's institutional investors, as a measure of informed trading. Over the 1982 to 2010 period, the top PC_NII decile outperforms the bottom PC_NII decile by...

Using the vector autoregression (VAR) analysis, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis...

This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

An accounting-based model has strong out-of-sample power not only to detect fraud, but also to predict cross-sectional returns. Firms with a higher probability of manipulation (MSCORE) earn lower returns in every decile portfolio sorted by: Size, Book-to-Market, Momentum, Accruals, and...

This paper examines changes in acquirer and target companies' Credit Default Swap (CDS) spreads as a proxy for default risk around official mergers and acquisitions (M&A) announce-ments. Related literature extensively documents wealth effects triggered by M&A from the shareholders' perspective,...