This paper proposes a new method of forming basis assets. We use return correlations to sort securities into portfolios and compare the inferences drawn from this set of basis assets with those drawn from other benchmark portfolios. The proposed set of portfolios appears capable of generating...

Recent evidence indicates that cycles in valuation and managers ability to time the market partly explain the pattern of many corporate financing activities, such as equity issuances and mergers. In this paper, we challenge the importance of market timing in driving financing waves by examining...

In this paper, we analyze the pricing impact of emerging market sovereign bonds on corresponding corporate bonds by examining the spanning enhancement, price discovery, and issuance effects of sovereign bonds. Our evidence suggests that, for relatively undeveloped markets, that is those with few...

The use of stock repurchases has fluctuated dramatically over the last two decades: Aggregate repurchases peaked in 1999, when the use of repurchases came close to surpassing the use of dividends, and reached a low in 1991, when the repurchases amounted to only a quarter of dividends. Though...

We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run...