This paper offers a novel explanation for why some firms prefer to pay dividends rather than repurchase shares. It is well-known that insitutional investors are relatively less taxed than individual investors, and that this induces "dividend clientele" effects. We argue that these clientele...

In recent years, the number of downgrades in corporate bond ratings has exceeded the number of upgrades, This fact has led some to conclude that the creidt quality of US corporate debt has declined. However, declining credit quality is not the only possible explanation. An alternative...

It is well established that recent prior winner and loser stocks exhibit return continuation; a momentum strategy of buying recent winners and shorting recent losers appears profitable in the post 1945 era. In contrast, the risk exposure of such a strategy has not been well understood; the...

We study the asset pricing implications of an economy where solvency constraints are determined to efficiently deter agents from defaulting. We present a simple example for which efficient allocations and all equilibrium elements are characterized analytically. The main model produces large...

In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other...