After conducting the first study of secondary trading in structured credit products, the authors report that the majority of products did not trade even once during the 21-month sample. Execution costs averaged 24 bps when trades occurred and were considerably higher for products with a greater...

The well-documented abnormal long-run buy-and-hold returns to firms issuing equity in initial public offerings and seasoned equity offerings, firms bidding in mergers, and firms initiating dividends can be attributed to imperfect control-firm matching. In addition to firm size and market-to-book...

We analyze the empirical power and specification of test statistics designed to detect abnormal bond returns in corporate event studies, using monthly and daily data. We find that test statistics based on frequently used methods of calculating abnormal monthly bond returns are biased. Most...

We study corporate bond offerings, including underwriting syndicate structure, primary placement transactions, and secondary market outcomes. Syndicate structure and allocations vary with issue complexity and risk, and across investment grade and high yield issues. The syndicate...

Investment performance depends on return measurement horizon. The percentage of U.S. equity mutual funds that outperform the SPY is 46.9% in monthly returns, 39.9% in annual returns, and 29.5% in full-sample (1991-2008) returns. Further, true alphas vary with return measurement horizon, and the...

This report quantifies long-run stock market outcomes in terms of the increases or decreases (relative to a Treasury bill benchmark) in shareholder wealth, when considering the full history of both net cash distributions and capital appreciation. The study includes all of the 26,168 firms with...