Equity costs of capital for individual firms are estimated using several models that relate expected returns to betas on one or more pervasive factors. A Bayesian approach incorporates prior uncertainty about an asset's mispricing as well as uncertainty about betas and factor means. Substantial...

We investigate the robustness of the long-run underperformance of initial public offering (IPO) and seasoned equity offering (SEO) firms from 1975-1992. The conclusion that issuer underperformance is unique is questioned by our results. We find that underperformance is largely concentrated in...

The returns of assets that are traded on financial markets are more volatile than the returns offered bu intermediairies such as banks and insurance companies. This suggests that individual investors are exposed to more risk in countries which rely heavily on financial markets.

Limit orders incur no price impact, however, their execution time is uncertain. We develop several econometric models of limit-order execution times using survival analysis, and estimate them with actual limit-order data. We estimate models for time-to-first-fill and time-to-completion, and for...

We examine the effects of human capital on consumption, stock market, and other fluctuations in a general equilibrium continuous-time model. A representative consumer-worker-investor derives utility from consumption and leisure. A representative firm demands labour as the sole input to a...