We consider the importance of legal opportunism as an explanation for observed litigation following a large sample of initial public offerings (IPOs). We characterize legal opportunism as litigation based on the potential to recover losses after negative stock price developments rather than the...

Bond and stock returns have been observed in the literature to exhibit unconditional skewness and temporal persistence in conditional skewness. We demonstrate that observed persistence in conditional third central moments can be due to the spillover of conditional variance dynamics. The...

According to the existing literature, institutional investors have a significant impact on the litigation risk of publicly traded companies. This should be particularly true after the Private Securities Litigation Reform Act (PSLRA) of 1995 that encourages institutional investors to serve as...

We examine the role of fundamental accounting information in shaping portfolio performance. Using a conditional performance approach, we address the concern that the positive relationship between Piotroski's F Score and ex post returns is due to risk compensation. Our results show that...

We find two structural breaks, signifying three investment regimes, in global equity markets from January 1988 through January 2010. These estimated breaks are similar for multiple models of beta risk. We find that emerging markets provide significant marginal performance benefits to a globally...

We examine the ability of one- and two-factor regime switching models to describe U.S., developed, and emerging market mutual fund returns. We find that a two-factor fixed transition probability model adequately describes the multivariate series of mutual fund returns without the need to model...

We conduct an experiment in which assets of lower volatility risk are sequentially added to the investment opportunity set (IOS) of a fixed investment horizon. Econometric spanning tests show that the limiting IOS is the linear boundaries defined by the limiting IOS asymptotes, implying more...

We employ a conditional event study to analyze managers' motives to announce a share repurchase in the context of a model of economic factors that impact a firm's abnormal announcement return. Firms with greater free cash flow and less debt are more likely to initiate a repurchase. Share...