This article provides empirical support for the theory that closed-end fund discounts reflect expected investment performance. Evidence is presented to explain how equity closed-end fund initial public offerings (IPOs) can sell at a premium when existing funds sell at a discount and why the...

VaR_Delta-Normal fails in two counts: subadditivity and potentially producing losses larger than its portfolio value. This paper solves the second inconsistency developing formulas derived from a put option, named PVaR_Delta-Normal and Put_Expected_Shortfall, PSF_Delta-Normal; the latter also...

We show that three proxies for stock price informativeness, adjusted probability of information based trading (AdjPIN), price non-synchronicity and probability of information-based trading (PIN), decrease significantly due to an enlarged investor base after stock splits. The results are...

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk-return relationship identified by Bali, Demirtas, and...

We conduct a simulation study based on a dynamic pricing framework that embeds time varying cash flows and discount rates, to study two types of measurement errors in the implied cost of capital methodology. First, the constant term structure assumption significantly reduces the variation in the...

This study applied the Fama-French three-factor model (1993) and CAPM to examine A-shares in Chinese equity market from 1996 to 2005. The authors find a positive relation between book-to-market ratio and stock excess returns, and negative between size and stock excess returns. The results...

Movements in prices depend both on innovations to cashflows and changes in discount rates, which can be modelled as fluctuations in the cross-sectional distribution of wealth across an unchanging set of investment objectives. This paper explores the risk that arises when investors do not have...

The traditional active vs passive debate has been shaken up by the emergence of “smart beta” strategies. As the population of these products has exploded, the quest to differentiate among them has focused on portfolio construction techniques rather than what actually matters, namely...

We show that analyst coverage proxies contain information about expected returns. We decompose analyst coverage into abnormal and expected components using a simple characteristic-based model and show that firms with abnormally high analyst coverage subsequently outperform firms with abnormally...

We find that the negative average-return differential between high- and low-volatility stocks -- the so-called "volatility puzzle" -- is particularly more pronounced when both groups of stocks have large trading volume. Conversely, the return differential is completely absent among low-turnover...