This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions...

We analyze capital allocation in a conglomerate where divisional managers with uncertain abilities compete for promotion to CEO. A manager can sometimes gain by unobservably adding variance to divisional output. Capital rationing can limit this distortion, increase productive efficiency, and...

Real estate investment trust (REIT) provides a unique laboratory to study the relation between insider ownership and firm value. One, A REIT has to satisfy special regulations which weaken alternative mechanisms to control agency problems. Empirically, I find a significant and robust nonlinear...

This paper offers an explanation for the forward discount puzzle in foreign exchange markets based upon investor overconfidence. In contrast with behavioral biases conjectured specifically to explain the puzzle, overconfidence is a well-documented psychological phenomenon that has been found to...

The objective of this article is to outline what we, as researchers, know and, more importantly, what we do not yet know about the consequences of terrorism for financial markets. I argue that a number of the efforts used to assess quantitatively the risk of terrorist attacks are limited in...