In this paper we propose a new cross-sectional asset pricing model employing a Young-minus-Old (OMY) factor, which accounts for long-run post-IPO underperformance. The OMY factor might be also seen as a measure of market sentiment. We test the model using stock returns from the Warsaw Stock...

This paper investigates whether managers adapt their dividend policies to the changing preferences of investors, as predicted by the catering theory of dividends. First, we noted a systematic decline in companies that paid out dividends in a sample of 2226 American publicly-traded companies, not...

This paper deals with market reaction to announcements of quarterly earnings. We observe if information content of quarterly reports is accordingly reflected in stock prices, as theoretically implied by the Efficient Market Hypothesis. We focus on the small emerging market in Poland, and search...

This study presents the results from a comprehensive out-of-sample test of long-run returns following mergers and acquisitions (M&As). Using a unique sample from 23 frontier markets of almost 800 transactions conducted during the years 1992 to 2016, we implement both cross-sectional tests and...