Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross-sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors...

We present a new methodology for estimating time-varying conditional skewness. Our model allows for changing means and variances, uses a maximum likelihood framework with instruments, and assumes a non-central <italic>t</italic> distribution. We apply this method to daily, weekly, and monthly stock returns, and...

The Canadian bond market contains valuable information about the future real economic growth. These forecasts, which are based on a simple asset-pricing theory, are more accurate than the ones based on time-series models and compare favorably with professional forecasts. Significantly, the term...

Traditional mean-variance efficient portfolios do not capture the potential wealth creation opportunities provided by predictability of asset returns. We propose a simple method for constructing optimally managed portfolios that exploits the possibility that asset returns are predictable. We...

We analyze the impact of the May 2003 dividend tax cut on corporate dividend policy. First, we find that while there was a temporary increase in dividend initiations, this increase was not long–lasting. While dividend payments were increased right after the tax change, there was a larger and...

We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on both economic and financial integration. In integrated markets, discount rates and expected growth opportunities should be similar within one...

We administer psychometric tests to senior executives to obtain evidence on their underlying psychological traits and attitudes. We find US CEOs differ significantly from non-US CEOs in terms of their underlying attitudes. In addition, we find that CEOs are significantly more optimistic and...