We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the general population of firms and from each other in how they cluster across industries. Using tests that are...

We examine the relation between the cross-section of U.S. stock returns and foreign exchange rates during the period from 1973 to 2002. We find that stocks most sensitive to foreign exchange risk (in absolute value) have lower returns than others. This implies a non-linear, negative premium for...

We analyze the relation between the price reaction to analysts' revisions and the attributes (years of experience, reputation of the analysts' brokerage houses) of the analysts making the recommendations. These attributes form proxies for analyst ability that we validate by documenting that...

An important question for bank regulatory policy is whether supervisory examinations of large commercial banking firms - institutions that are already actively followed by many investors and their private sector agents - produce useful information that is not already reflected in market prices....

We examine commodity trading advisors (CTAs) to understand the causes and consequences of the financialization of commodity markets. We find that CTAs can hedge against stock market tail risk and that CTAs with better hedging properties attract more investor flows. Meanwhile, the aggregate CTA...

Efficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine the relationship between flows to a "quant" strategy that is based on capital market anomalies, and the subsequent performance of this strategy. When these flows are high, quant...

We investigate the dual notions that “dumb money” exacerbates well-known stock return anomalies, and “smart money” attenuates these anomalies. We find that aggregate flows to mutual funds (“dumb money”) appear to exacerbate cross-sectional mispricing, particularly for growth,...

We show that short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. Moreover, short interest is a better predictor of changes in firm fundamentals for stocks that are harder to short and short sellers appear to have information...