We use extreme value theory to analyse the tails of a momentum strategy's return distribution. The asymmetry between the fat left tail and thin right tail strongly reduces a momentum strategy's prospective utility levels

Lins, Servaes, and Tamayo (2017) (LST) show that during the Global Financial Crisis (GFC) US firms with high corporate social responsibility (CSR) ratings increased in value relative to firms with low CSR ratings. Our study raises questions about the internal and external validity of the...

We assess the impact of the Sarbanes-Oxley Act (SOX) on discretionary accruals (DA) and real earnings management (REM) activities around CEO turnovers. Improved corporate governance post-SOX can either deter earnings management (the deterrence effect) or pressure CEOs to inflate earnings when...

We use simultaneous equations to model the bi-directional causality between IPO initial returns and oversubscription ratios in China. We find that the causality is one-directional from oversubscription ratios to IPO initial returns in the post-reform period (2005–2015), which is consistent...