We extend Jin and Myers’ (2006) model to derive the relation between stock price crash risk and operating leverage (i.e., the fraction of fixed costs in total costs). The model predicts that (i) firms’ operating leverage decreases as stock price crash risk increases, and (ii) the negative...

We examine the optimal saving decision of individuals who face a multiplicative risk. An individual is defined to be multiplicative risk prudent if multiplying a pure risk to her future wealth raises her optimal savings. We show that an individual is multiplicative risk prudent if and only if...

This paper examines the cross-sectional determinants of post-IPO long-term stock returns in China. We document that the aftermarket P/E ratio has the most robust negative association with post-IPO stock returns. The negative relation indicates that the market corrects the aftermarket...

Focussing on earnings-related rather than different classes of corporate announcements as in Chae (20056. Chae , J . 2005 . Trading volume, information asymmetry, and timing information . Journal of Finance , 60 : 413 – 42 . [CrossRef], [Web of Science ®] View all references), we examine...

We test whether default risk is related to equity returns using the Fama and MacBeth [Fama, E.F., MacBeth, J., 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636.] regression framework. The proxy we use for default risk is the default probability...