This paper analyzes a potential scale effect on the regression R2 to determine if a scale factor can reconcile the arguments concerning the choice between the price levels model and the returns model. Analytically, it is shown that the scale effect depends on the unknown scale-free economic...

Roll R² (1988) concludes that our ability to explain stock returns is modest: close to 80% of the daily stock returns variance (65% for monthly stock returns) remain unexplained by a combination of priced factors and a portfolio of industry peers, even controlling for firm specific news...

We investigate the (unintended) effects of bank executive compensation regulation. Capping the share of variable compensation spurred average turnover rates driven by CEOs at poorly performing banks. Other than that, banks‘ responses to raise fixed compensation sufficed to retain the vast...

We investigate the (unintended) effects of bank executive compensation regulation. Capping the share of variable compensation did not induce an executive director exodus from EU banking because banks raised fixed compensation sufficiently to retain executives. However, risk-adjusted bank...

We study if the regulation of bank executive compensation has unintended consequences. Based on novel data on CEO and non-CEO executives in EU banking, we show that capping the variable-to-fixed compensation ratio did not induce executives to abandon the industry. Banks indemnified executives...