Using a broad sample of earnings announcements, we find that option call and put implied volatilities become increasingly misaligned as the earnings announcement dates (EAD) get closer. The percentage deviation between call and put implied volatilities increases monotonically in the one-month...

We empirically assess a variety of portfolio construction strategies using MSCI country indices from 1998 to 2010. These strategies range from the classic mean-variance optimization strategy to simple allocation strategies, such as equally weighted and dividend-yield-weighted portfolios. We find...

We examine the extent to which uncertainty delays investment, and the effect of competition on this relationship, using a sample of 1214 condominium developments in Vancouver, Canada built from 1979–1998. We find that increases in both idiosyncratic and systematic risk lead developers to delay...

This paper investigates whether aligning manager and owner incentives can improve the innovation performance of firms. We find that pay-sensitivity works to align managerial actions to shareholder interests. As managerial wealth becomes more sensitive to the firm's stock price the innovation...

This paper examines how loan covenant violations impact firm dividend policy. Using contract-level loan data for nonfinancial firms in the U.S., this study provides evidence that the occurrence of a covenant violation significantly increases the likelihood of a dividend reduction in the...