Economists have long been puzzled by the tendency of investors to sell winning investments too soon and hold losing investments too long. Several behavioral explanations for this phenomenon, known as the disposition effect, have been advanced. This paper demonstrates that disposition effects are...

This paper compares the quality of commonly used predictors for the volatility of stock returns. The techniques studied are moving averages of squared returns, GARCH and stochastic volatility models, and the implied volatility. We use a variety of econometric criteria to assess the forecasting...

This paper investigates whether activist investors' focus on short-term stock prices impedes their role in improving corporate governance. The model builds on the notion that both the act of intervention and the threat of an intervention can generate value for the target firm. While the effect...