We propose an explanation for the quot;disappearing dividendquot; phenomenon: a decline in the information content of dividend announcements, which reduces the propensity of firms to use dividends as a costly signal. A reason for a decline in the information content of dividends is the rise in...

We propose a direct and convenient reduced-bias estimator of predictive regression coefficients, assuming that the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable. For the single regressorsmodel, Stambaugh (1999)...

This paper examines the effects of cross-border bank mergers on the risk and (abnormal) returns of acquiring banks. We find that overall, the acquirers risk neither increases nor decreases. In particular, on average neither their total risk nor their systematic risk fallsrelative to banks in...

We propose a direct and convenient reduced-bias estimator of predictive regression coefficients, assuming that the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable. For the single-regressormodel, Stambaugh (1999)...

Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable; see Stambaugh (1999) for the single-regressor model. This paper...

Standard predictive regressions produce biased coefficient estimates in small samples when the regressors are Gaussian first-order autoregressive with errors that are correlated with the error series of the dependent variable; see Stambaugh (1999) for the single-regressor model. This paper...

We examine Cohen and Wang's (JFE 2013, CW) conclusion that a staggered board (SB) lowers firm value based on the stock price reaction to two 2010 Delaware court rulings in the Airgas case, the first weakening the potency of an SB and the second restoring it. We find that CW's results, for their...

Examining the illiquidity premium in stock markets across 45 countries, we find the following. First, the average illiquidity return premium across countries is positive and significant, after controlling for other pricing factors. The premium is measured by monthly return series on...

This paper reviews research on the effects of different measures of liquidity on asset prices. The foundation is the pricing of liquidity as an asset characteristic that began with the theoretical model and empirical evidence of Amihud and Mendelson (1986). The positive relation between expected...

Lou and Shu decompose Amihud's illiquidity measure (ILLIQ) proposing that its component, the average of inverse dollar trading volume (IDVOL), is sufficient to explain the pricing of illiquidity. Their decomposition misses a component of ILLIQ that is related to illiquidity. We find that this...