We examine changes in equity mutual funds' investment advisory contracts. Contracts generally pay the advisor a fee which is a percentage of the fund's total net assets. There are substantial advisory fee rate changes in both directions, with typical percentage fee shifts exceeding one-fourth....

New issues of public high yield debt, or junk bonds, reached record levels in the 1990s. This paper studies transactions where firms issue junk bonds and use the proceeds to repay their bank debt. These substitutions represent the most frequent use of junk bonds. Our analysis suggests that firms...

This paper studies the specification of tests for long-horizon (i.e., multiyear) abnormal security returns around firm-specific events, using samples of randomly selected securities and simulated event dates. The main result is that typical long-horizon tests are misspecified. The tests have a...

We study put option sales undertaken by corporations during their repurchase programs. Put sales' main theoretical motivation is market timing, providing an excellent framework for studying whether security issues reflect managers' ability to identify mispricing. Our evidence is that these bets...

Previous work shows that the growth rate of industrial production is a common macroeconomic risk factor in the cross-section of expected returns. We demonstrate the connection between momentum profits and shifts in factor loadings on this macroeconomic variable. Winners have temporarily higher...

This paper studies the association between a firm's stock returns and subsequent top management changes. Consistent with internal monitoring of management, there is an inverse relation between the probability of a management change and a firm's share performance. This relation can result from...

We study standard mutual fund performance measures, using simulation procedures combined with random and random-stratified samples of NYSE and AMEX securities. We track simulated fund portfolios over time. These portfolios' performance is ordinary, and well-specified performance measures should...

We study put option sales on company stock by large firms. An often cited motivation for these transactions is market timing, and managers' decision to issue puts should be sensitive to whether the stock is undervalued. We provide new evidence that large firms successfully time security sales....

We study the connection between momentum portfolio returns and shifts in factor loadings on the growth rate of industrial production. Winners have temporarily higher loadings than losers. The loading spread derives mostly from the high, positive loadings of winners. Small stocks have higher...

We study empirically the changes in economic fundamentals for firms with recent stock price momentum. We find that: (i) winners have temporarily higher dividend, investment, and sales growth rates, and losers have temporarily lower dividend, investment, and sales growth rates; (ii) the duration...