One purpose of this study is to explore the characteristics that define socially responsible companies by comparing the content of the Samp;P 500 Index of conventional companies to the contents of four indexes of socially responsible companies, the Domini 400 Social Index (DS 400 Index), the...

We study the link between social interaction and stock market bubbles. We argue that an increase in social interaction may facilitate the birth of a cascade-type pattern and indirectly of a bubble. We concentrate on a form of interaction that is rooted back in the past: college-based interaction...

A significant body of literature initiated by Grossman (1976) and Grossman and Stiglitz (1980) predicts that mutual funds with higher levels of private information are more specialized and deliver superior performance. We analyse the impact of private information on mutual funds' performance for...

In this paper, we develop a model of earnings management that sheds light onto empirical regularities in the behavior of institutions and insiders. We link the earnings management decision to insiders' stake and show how this may impact analysts' forecast accuracy and institutional trading. More...

Shareholders follow stocks more closely when they can hold a larger number of shares. A company which expands its investor base without raising capital, redistributes shares from incumbent to new shareholders, and therefore reduces the value of information. Thus, an investor base expansion...

This paper investigates the disposition effect on the Portuguese stock market, on the basis of a unique database that consists of trading records of 1496 individual investors. We found strong evidence of the disposition effect, studied on the basis of trades, volume and value traded. This...

The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm's exposure to systematic variation in default risk. Unlike...

This paper derives and tests an ICAPM based on a conditional version of the two-beta ICAPM (bad beta, good beta, BBGB) from Campbell and Vuolteenaho (2004). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a lagged state variable (market...

The focus of this paper is on the predictive role of the stock-bond yield gap---the difference between the stock market earnings (dividend) yield and the ten-year Treasury bond yield---also know as the quot;Fed modelquot;. The results show that the yield gap forecasts positive excess market...

While socially responsible investing (SRI) is large and growing, current SRI offerings have shortcomings - including style biases, excessive expenses, tracking error and an incomplete menu of screens. We propose using factor-based models in SRI-screened investment universes to create...