While Merton (1987) proposes that firm value increases with the number of shareholders, relatively few studies have explicitly sought to identify the factors that affect investor participation per se in equity markets. Using a unique dataset that measures the inflow and outflow of equity...

There is a substantial divide between evidence in the empirical literature and survey evidence in the financial press regarding the influence of sell-side analyst recommendations on the trading of mutual funds. While surveys of fund managers suggest that they assign little weight to analyst...

An implicit assumption of the tournament hypothesis of mutual fund behavior is that managers intentionally modify portfolio risk in response to interim out- or underperformance. We present empirical evidence that associations between interim performance and subsequent volatility remain present...

In this paper I examine the relationship between equity valuation and four value drivers - revenue growth, volatility, profit margin and competitive advantage. I derive equity valuation models which are more robust than those used by equity analysts in practice, but require analysts to consider...

We examine whether it is profitable to trade according to the recommendations of analysts who made accurate earnings forecasts in a prior year. Prior research has shown that analysts who made the most accurate earnings forecasts in the current period also made the most profitable recommendations...

Rules governing superannuation investments are made with respect to investment-specific risks, rather than overall portfolio risks. In particular, legislation prohibits borrowing except in specific circumstances and on a non-recourse basis. We model the distribution of leveraged portfolio...

We measure the persistence and predictability of sales and earnings growth for Australian-listed firms from 1989 to 2006. In contrast to results from the United States, there is evidence of persistence in growth. Rather, there is close to a two-thirds chance that a firm reporting growth above...

Lally (2007) concludes that regulators must estimate the risk-free rate as the yield-to-maturity on Government debt with a term-to-maturity equal to the regulatory period, to ensure that the present value of expected cash flows equals the investment base. The analytics behind this conclusion...

We measure the contribution of industry sector choice and individual stock selection to the performance of 3350 United States' equity funds from 1980 to 2005. First, we demonstrate that sector choice makes a relatively greater contribution to portfolio variance, holding constant manager skill in...