We propose an explanation for the acirc;not;Sdisappearing dividendacirc;not;? phenomenon: the decline in the information content of dividend announcements. It reduces the propensity of firms to pay or increase dividends, since dividends are costly. A reason for the decline in the information...

New tests are presented on the effects of stock illiquidity on stock return. Over time, expected market illiquidity positively affects ex ante stock excess return (usually called acirc;not;Srisk premiumacirc;not;?). This complements the positive cross-sectional return-illiquidity relationship. The...

We propose a new hypothesis testing method for multi-predictor regressions with finite samples, where the dependent variable is regressed on lagged variables that are autoregressive. It is based on the augmented regression method (ARM; Amihud and Hurvich(2004)), which produces reduced-bias...

We propose an explanation for the quot;disappearing dividendquot; phenomenon: a decline in the information content of dividend announcements, which reduces the propensity of firms to use dividends as a costly signal. A reason for a decline in the information content of dividends is the rise in...

We propose a direct and convenient reduced-bias estimator of predictive regression coefficients, assuming that the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable. For the single regressorsmodel, Stambaugh (1999)...

This paper examines the effects of cross-border bank mergers on the risk and (abnormal) returns of acquiring banks. We find that overall, the acquirers risk neither increases nor decreases. In particular, on average neither their total risk nor their systematic risk fallsrelative to banks in...

We propose a direct and convenient reduced-bias estimator of predictive regression coefficients, assuming that the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable. For the single-regressormodel, Stambaugh (1999)...

Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable; see Stambaugh (1999) for the single-regressor model. This paper...

Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable; see Stambaugh (1999) for the single-regressor model. This paper...

We propose that fund performance can be predicted by its R2, obtained from a regression of its returns on a multi-factor benchmark model. Lower R2 indicates greater selectivity and it significantly predicts better performance. Stock funds sorted into lowest-quintile lagged R2 and...