This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...

We scrutinize the impact of dividend policy on stock price volatility by considering the seminal paper of Baskin (1989). In this context, we examine the relationship between volatility and three dividend policy indicators, dividend yield, dividend payout, and stock repurchases, for 1,221 firms...

We develop a parsimonious model of bubbles based on the assumption of imprecisely known market depth. In a speculative bubble, traders drive the price above its fundamental value in a dynamic way, driven by rational expectations about future price developments. At a previously unknown date, the...