This paper introduces measures of volatility and skewness that are based on individual stock options to explain credit spreads on corporate bonds. Implied volatilities of individual options are shown to contain important information for credit spreads and improve on both implied volatilities of...

We investigate how the market for corporate control (external governance) and shareholder activism (internal governance) interact. A portfolio that buys firms with the highest level of takeover vulnerability and shorts firms with the lowest level of takeover vulnerability generates an annualized...

Attempts to characterize stock return predictability have generated a plethora of papers documenting the ability of various variables to explain conditional expected returns. However, there is little consensus on what the important conditioning variables are, giving rise to a great deal of model...

In a recently released paper, “Board Declassification Activism: The Financial Value of the Shareholder Rights Projects,” we investigated the effects on firm value of board declassifications promoted by the Shareholder Rights Project (SRP), a clinical program held at Harvard Law School for...

For three academic years (2011-2014), the Harvard Law School's Shareholder Rights Project (SRP) operated a clinical program assisting institutional investors on board declassification proposals. This paper analyzes the SRP as a quasi-natural experiment to examine the value implications of...

We document that an increase in short-horizon investors is associated with cuts to long-term investment and increased short-term earnings. This leads to temporary boosts in equity valuations that reverse over time. To estimate these effects, we use difference-in-differences regressions around...

Using a holdings-based measure of active management termed the ‘Segment Active Share,' the paper documents that commercial real estate portfolios that are more active – i.e., have segment weights which are least like those of the index – have outperformed. Employing proprietary IPD data...

We examine how boards decide on CEO compensation depending on how informative stock prices are. In order to mitigate the endogeneity of board decisions, we use extreme mutual fund flow-driven trading pressure as an exogenous shock to stock price informativeness. Consistent with informed boards...

This paper considers a plethora of option-based measures of stock mispricing introduced by previous literature. These measures are based on differences between implied and actual stock prices, differences in implied volatilities across options, and on option trading volume. We show that stocks...

Just over 20 years have passed since the publication of Carhart's landmark 1997 study on mutual funds. Its conclusion—that the data did “not support the existence of skilled or informed mutual fund portfolio managers”—was the capstone of an academic literature beginning with Jensen...