This paper examines implications of substitutability of two similar investment vehicles: conventional index mutual funds and exchange traded funds (ETFs). It seeks to explain the coexistence of these vehicle types, which offer a claim on the same underlying index return process, but have...

We investigate the decision by corporate management to voluntarily disclose information that pertains to a firm's strategy. We find the likelihood of disclosure to be a tradeoff between the benefit of reducing information asymmetry and the cost of investors disagreeing with the strategy; this...

We test a theory about ambiguity surrounding the distribution of fundamental values to determine how market uncertainty affects earnings guidance perception and behavior. We find a more pronounced negative share price response to negative earnings guidance and a lower likelihood that management...

This study examines cross-sectional differences among money market mutual funds (MMMFs) in the context of sponsoring fund families. The study finds that flows to family non-MMMFs are negatively related to family MMMF flows, and family non-MMMF cash flow volatility is positively related to family...

The increased government efforts to pursue insider trading charges against Galleon Group and the subsequent increase in penalties for violating insider trading laws can deter managers from leaking information and deter investors from capitalizing on leaked information before earnings guidance...

Low spreads between loan rates and deposit rates are indicative of a more efficient financial system. We argue that spreads are better cross country measures of banking system efficiency than the net interest margins used in previous studies. We present theoretical and empirical evidence that...

Prior research shows that easily discernable patterns in earnings -- strings of earnings increases (decreases) and breaks in such strings -- affect investors' long-term valuation of stocks. We examine short-term market reaction before, during, and after earnings announcements to formally test...

An acorn fell on Chicken Little's head, and he concluded that the sky was falling. Stocks' return correlations have moved toward one at times, and current day Chicken Littles have concluded that, when this happens, alpha opportunities are diminished. Both conclusions make about the same amount...

Existing literature on exchange traded funds (“ETFs”) and conventional index mutual funds suggests that the two fund types are substitutes for each other in terms of attracting investors' money. Vanguard is an industry-leading index fund provider that offers both conventional index mutual...

It is often argued in defense of Risk Parity portfolios that they maximize the Sharpe ratio if their securities have identical Sharpe ratios and identical correlations. However, securities have neither identical Sharpe ratios nor this correlation structure. In realistic markets, Risk Parity...