We propose a new model for conditional covariances based on predetermined idiosyncratic shocks as well as macroeconomic and <italic>own</italic> information instruments. The specification ensures positive definiteness by construction, is unique within the class of linear functions for our covariance...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis,...

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...

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...

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...