We argue that long-horizon return reversals [Debondt and Thaler (1985)] reflect a premium for downside risk. Consistent with this, we find that downside betas of past losers are significantly greater than downside betas of past winners, and the inclusion of downside beta in Fama-Macbeth...

We document a strong link between institutional investors and long-run stock return and operating performance following seasoned equity offerings (SEOs). Virtually all of the underperformance is confined to the top two quintiles of stocks with the largest increase in number of institutional...

We examine institutional investor demand for stocks that are categorized as mispriced according to twelve well-known pricing anomalies. We find that institutional demand during the year prior to anomaly portfolio formation is typically on the wrong side of the anomalies' implied mispricing. That...

As firms have more assets in place, more of management's limited attention is focused on managing assets in place rather than developing new growth options. Consequently, as firms grow older, they have fewer growth options and a lower ability to generate new growth options. This simple theory...

We want to know whether and in what sense traders on the Swiss Stock Exchange (SWX) are influenced by what happens on Wall Street. According to the results, the SWX reacts strongly when U.S. macroeconomic news relevant to Wall Street is disclosed. Moreover, SWX traders seem to wait with...

We examine the board overlap among firms listed in Switzerland. Collusion, managerial entrenchment, and financial participation cannot explain it. The overlap appears to be induced by banks and by the accumulation of seats by the most popular directors. We also document that seat accumulation is...

This paper surveys the currency risk management practices of Swiss industrial corporations. We find that industrials do not quantify their currency risk exposure and investigate possible reasons. One possibility is that firms do not think they need to know because they use on-balance-sheet...

This paper is about shareholder value. We examine whether welfare considerations justify that target and whether competitive markets force firms to pursue it. We also argue that shareholder value is strictly an ill-defined goal. We report evidence from a large sample of listed firms across the...

We study the implementability of Black's (1988) elegant discounting rule. The rule overcomes thorny problems that traditional valuation approaches struggle with, namely identifying the market portfolio, measuring project risk, and assessing the market risk premium. We offer new theory, showing...

We ask whether corporations pay out the cash that shareholders anticipate and find consistent evidence. We study the firms traded on the NYSE, the AMEX, and the Nasdaq in 1926 to 2004. Over 30-year investment horizons, corporate cash distributions are commensurate with initial stock prices,...