Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive...

In this article, the authors measure and interpret the common 'factors' that describe money market returns. Results are presented for both three- and four-factor models. The authors find that the three-factor model explains, on average, 86 percent of the total variation in most money market...

This paper develops a theory to explain the frequently observed resistance offered by the management of target firms to high-premium takeover bids. Contrary to the popular perception of managerial entrenchment at the expense of the shareholders' interests, such resistance may be strategically...

The authors use a robust regression estimator to analyze the risk premia on size and book-to-market. They find that the risk premium on size that was estimated by Eugene F. Fama and Kenneth R. French (1992) completely disappears when the 1 percent most extreme observations are trimmed each...

Price improvement is the difference between the execution price of an order and the quoted bid or ask when the order was submitted. We show that expected price improvement falls off dramatically as the size of the order approaches the quoted depth, and becomes negative for larger orders. This is...