This paper shows that both value and momentum premia arise in a q-theoretic framework that considers optimal corporate policies under uncertain financing conditions. Book-to-market and past performance predict future returns because they serve as indicators of firm financing position. The...

Over the past two decades, hedge fund activism has emerged as new form of corporate governance mechanism that brings about operational, financial and governance reforms to a corporation. Many prominent business executives and legal scholars are convinced that the entire American economy will...

Notwithstanding the focus on hedge fund activism, fundamental questions remain. How much does hedge fund activism really matter? What has academic study contributed to the understanding of hedge fund activism? And what, if anything, does research on hedge fund activism illuminate about the...

Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...

The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for...

Leverage offers not only its own directional implications for both risk and reward, but also facilitates superior tests of risk-reward theories: Leverage can change with and without corporate intervention, sometimes even discontinuously. In better-identified contexts, it is more difficult to...

The case of Evergreen Solar (ESLR) suggests counterparty risk exposure be added to the litany of misgivings on the economic efficiency, absolute performance, and governance conflicts of ASRs. Evergreen Solar in July 2008 issues a convertible, enters into an offsetting, broker-backed long...

This paper reexamines MM's dividend and capital structure irrelevance theorems, refuting the first and confirming the latter from the inside out framework. The paper cooperates with Garry and Linda DeAngelo's papers on the irrelevance of the MM's dividend irrelevance theorem and refutes...

Both market timing and investment-based theories of corporate financing predict underperformance after firms raise capital, but only market timing predicts that the composition of financing (equity compared to debt) should also forecast returns. In cross-sectional tests, we find that the amount...

It is time for accounting to recognize the existence of stock exchanges and stop treating the equity accounts of public corporations as if they belonged to 15th century private partnerships. When Pacioli's codification of the principles of accounting was published in 1494, stock exchanges did...