This study examines the properties of the R-squared metric frequently used in accounting research as a measure of value relevance. Analytical results show that the metric is unreliable in the presence of scale effects. Specifically, we show that the metric is upwardly biased for accounting...

We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...

We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of investor sentiment, and validate this index using data from both the United States and Japan. In...

Funds of funds are an increasingly popular avenue for hedge fund investment. Despite the increasing interest in hedge funds as an alternative asset class, the high degree of fund specific risk and the lack of transparency may give fiduciaries pause. In addition, many of the most attractive hedge...

Alfred Cowles' (1934) test of the Dow Theory apparently provided strong evidence against the ability of Wall Street's most famous chartist to forecast the stock market. In this paper, we review Cowles' evidence and find that it supports the contrary conclusion -- that the Dow Theory, as applied...

In 1988, Robert Runcie, then Archbishop of Canterbury, said in a speech in London: "In the middle ages people were tourists because of their religion, whereas now they are tourists because tourism is their religion". Perceptive words indeed, and it does seem as if travel and tourism have become...