The stock market is widely viewed as being more volatile these days. This paper examines that perception using data from the past 40 years. It finds surprising consistency across years in the number of days the market closes up and down. In an average year the market closes down 47% of all...

In this paper we develop information based factors which outperform other popular factors used in the multifactor pricing literature such as the Fama and French size and book-to-market factors. The first factor is based on the age of an asset, measured by the number of months since the asset’s...

Many commentators have portrayed the tech boom of the late 1990s as an era of unprecedented deterioration in the quality of firms undertaking initial public offerings. But as far back as the early 1980s, firms seeking to go public were displaying signs of financial weakness, and the failure rate...

With the approach of the new millennium last year, many market participants resolved to limit their exposure to Y2K-related risks by cutting back normal trading activities. The Federal Reserve foresaw that the widespread adoption of such a strategy could lead to serious liquidity problems in key...

Multiple informed traders and noise traders pay fees to trade through multiple brokers. Brokers may trade with their customers in the same transaction (simultaneous dual trading) or trade after their customers in a separate transaction (consecutive dual trading). Brokers' expected profits from...

We study a variety of issues related to brokers' trading. In our model, multiple informed traders and noise traders trade through multiple brokers. Brokers may trade with their customers in the same transaction (simultaneous dual trading) or trade after their customers in a separate transaction...

Record low dividend yields and record high market-to-book ratios in recent months have led many market watchers to conclude that these indicators now behave differently from how they have in the past. This paper examines the relationship between traditional market indicators and stock...