We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector autoregression model with drifting parameters and stochastic volatilities estimated via Bayesian methods. We find significant variation over time of the response of investment to shocks...

This paper seeks to quantify the long-term financial impact of negative word of mouth (NWOM), an issue that has long challenged extant research. We do so with real-world data on firm security prices. The developed time-series models innovatively uncover (1) short- and long-term effects of NWOM...

According to the log-linear return approximation, the ability of a predictor to predict future stock returns may arise from its ability to predict either the cash flows or the discount rates, or both. This paper introduces novel nonparametric approaches for estimating and testing the time...

In this paper we propose a general equilibrium model that successfully reproduces the historical experience of the cross section of US stock prices as well as the realized history of the market portfolio. The model achieves this while addressing traditional concerns in the asset pricing...