Adherents of Fundamental Indexing (FI) suggest that it is more protable to base portfolio weights on indirectly size-related indicators like accounting data rather than directly on market caps. In noisy markets a la Roll (1984), it is argued, underpriced stocks overperform but are underweighted...

Two regression coefficients often used in Finance, the <link rid="b23">Scholes-Williams (1977)</link> quasi-multiperiod 'thin-trading' beta and the <link rid="b19">Hansen-Hodrick (1980)</link> overlapping-periods regression coefficient, can both be written as instrumental-variables estimators. Competitors are Dimson's beta and the...

Does one make money trading on the deviations between observed bond prices and values proposed by bond-pricing models? We extend <link rid="b34">Sercu and Wu's (1997)</link> work to more models and more data, but we especially refine the methodology. In particular, we provide a normal-return benchmark that markedly...

Does one make money trading on the deviations between observed bond prices and values proposed by bond-pricing models? We extend Sercu and Wu (1997)'s work to more models and more data, but we especially refine the methodology. In particular, we provide a normal-return benchmark that markedly...

The case for one share/one vote regulation is quite robust to the way the takeover game is played, provided one goes all the way and allows not just toeholds or multiple bids and revisions but also bargaining. But the alternative rule that exclusion should never harm the non-voting shares, or...

In light of renewed interest in the relation between shareholder protection and control arrangements, we thoroughly review the optimality of one-share one-vote (1S1V). The issue is what set of rules the entrepreneur will put in place, re take-overs, so as to maximize the IPO value of the firm....

Two regression coefficients often used in Finance, the Scholes-Williams (1977) quasi-multiperiod thin-trading beta and the Hansen-Hodrick (1980) overlapping-periods regression coefficient, can both be written as instrumental-variables estimators. Competitors are Dimson's beta and the...