We examine a sample of 8,313 cases, between 1951 and 2001, where firms unexpectedly increase their research and development expenditures (Ramp;D) by a significant amount. We find consistent evidence that our sample firms are undervalued following their Ramp;D increases as manifested in the...

Takeover speculation may hurt productivity because uncertainty and threat of job loss cause anxiety, distraction, and reduced collaboration and morale among employees. Using a large panel of OECD-headquartered firms, we show that firm productivity temporarily declines after announcements of...

Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the moment conditions are specifiedsuch that they allow the estimated factor means to substantially deviate from theobserved sample averages. In fact, by shifting the weights on the...

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

The aim of the paper is to analyze the effectiveness of Piotroski F-Score method for a selection of non-US markets (BRIC, UK, Germany), to identify the efficiency of this measure to generate Alpha. This study showed, that companies with high F-Score in non-US markets generate 8.2% (long...

We use the 2007 acquisition of Dow Jones & Co. by News Corporation to study whether the perception of a news source's political affiliation affects its credibility and financial market impact. Following 2007, the price of Republican- (Democrat-) aligned stocks becomes less sensitive to positive...

Using leverage to magnify performance is an idea that has enticed investors and traders throughout history. The critical question of when to employ leverage and when to reduce risk, though, is not often addressed. We establish that volatility is the enemy of leverage and that streaks in...

We investigate whether large stock price changes are associated with short-term reversals or momentum, conditional on the issuance of analyst price target or earnings forecast revisions immediately following these price changes. Our study provides evidence that prices of stocks exhibit momentum...

On August 11, 2020 at 16:59 EDT, Tesla announced a 5-for-1 stock split. The trading in the after-market and during the subsequent two days amounts to a unique financial economic experiment. Although stock splits have no fundamental impact on value, Tesla's stock price rose 17.94% in the two days...

Identifying and measuring risk has been a constant endeavor for identifying assets related to investment. Various theories have been propounded for pricing of assets considering the risk element. The most common and widely accepted method has been the capital asset pricing model (CAPM) model,...