This study analyzes price and volatility transmissions between nineteen real estate investment trusts (REITs) markets and the oil market. The REITs data represents a variety of countries at different stages of their development and the expanded analytical approach includes accounting for...

We explore the relationship between measures of accounting conservatism and firm value as measured by Tobin’s Q. It is generally regarded that accounting conservatism may have conflicting effects on firm value. On one hand, conservative accounting practices may reduce the probability of...

There is substantial evidence to suggest that the market placed a lower value on diversified firms than on specialized firms during the 1980s, yet many firms diversified anyway. This article addresses why firms diversify in the first place. We use the Compustat Industry Segment database in order...

We apply the Fama-French three factor model to returns from a sample of specialized firms that announced an economic diversifying event over the period from 1978 through 1992. In addition to full-sample results, we report results for sub-samples of firms that refocus within 60 months of the...

Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the positive beliefs due to short-sale constraints. These...

This paper examines the relationship between asset jump risk premium and the cross section of option returns. Empirically, we estimate jump risk premium from two different measures of the slope of the implied volatility smile. Our results show that options written on the stocks with high jump...

We decompose mutual fund flow–driven price pressure into liquidity and information components by measuring the extent to which mutual fund flow-driven trading spills over from the United States (US) to 44 international markets. Our procedure shows that liquidity barriers are greater than...