We describe the fundamental issues that long-horizon event studies face in choosing the proper research methodology, and summarize findings from existing simulation studies about the performance of commonly used methods. We document in detail how to implement a simulation study and report...

Recent studies find that transactions volume and volatility spread of exchange-traded single-stock options predict the underlying stock’s future returns. Most of the firms with exchange-traded options have large market capitalization and are actively traded. It is a puzzle why it takes days...

This paper documents that the housing cycle, measured by the residential investment share, is a strong in-sample and out-of-sample predictor for the dollar up to twelve quarters. Housing construction is negatively associated with risk premia in equity and bonds, but positively with foreign...