We study the impact of the 1918 Spanish Flu on U.S. stock returns. We use a new weekly hand collected sample of 136 firms that traded on the NYSE and new mortality data to assess the impact of four waves of the flu on stock returns. We find that the second and fourth waves of the pandemic...

This study investigates the impact of firm size on shareholder value by examining the cumulative abnormal returns (CAR) around foreign direct investment (FDI) announcements. We find that firm size, as measured by the logarithm of its asset, is positively correlated with CAR when CAR is negative,...

This paper investigates the performance of a factor-augmented regression (FAR) model with a mixture of stationary and nonstationary factors in stock return prediction. For comparison purpose, we also consider a traditional FAR model with only stationary factors. In an application with a dataset...

This paper examines stock returns by incorporating idiosyncratic volatility with the information contained inside the two channels of Baker and Wurgler (2006) in explaining investor sentiment effects on the cross-sectional returns. We provide empirical evidence to show that the joint effect of...