According to Streetlore, as embedded in the adage "As goes January so goes the rest of the year," the market return in January provides useful information to would-be investors in that the January market return predicts the market return over the remainder of the year. This adage has become...

According to Streetlore, as embedded in the adage 'As goes January so goes the rest of the year,' the market return in January provides useful information to would-be investors in that the January market return predicts the market return over the remainder of the year. This adage has become...

We develop a new and comprehensive database of firm-level contributions to U.S. political campaigns from 1979 to 2004. We construct variables that measure the extent of firm support for candidates. We find that these measures are positively and significantly correlated with the cross-section of...

Conditional asset pricing models have been used to determine whether the value premium and other CAPM anomalies are due to risk. We show that the conclusions on whether these anomalies are due to risk are very sensitive to the choice of the information variables used to define good and bad...