This is the story of the Princeton Wine Group, a group whose membership has been relatively constant for almost 40 years. This group has enjoyed 244 blind tastings involving 1,708 different wines. A statistical analysis was performed at each tasting examining whether participants ranked the...

This paper investigates whether beta can predict the expected return after controlling for the beta instability resulting from shift in the covariance structure. Such a shift is primarily due to noise investors chasing stocks with high idiosyncratic volatility. Consequently, these stocks tend to...

We document that a stock's price around a recommendation or forecast covaries with prices of other stocks the issuing analyst covers. The effect of shared analyst coverage on stock price comovement extends beyond analyst activity days. A stock's daily returns covary with the returns of other...

The standard test for the pricing role of aggregate idiosyncratic risk in the conventional predictive regression considers aggregate total idiosyncratic risk a reasonable proxy for its undiversified component, which should be priced as theory suggests. However, when the priced component is...

Despite the debate on the pricing of idiosyncratic risk, it is generally believed that the pricing effect is likely to exist among small stocks due to lack of diversification and information asymmetry predicted by Merton (1987). However, given the size of Asset Under Management, most...

Current literature has suggested that many factors affect a firm's capital structure decision and firms do not change their capital structure very often. Such a quot;stablequot; structure has prompted Lemmon, Roberts, and Zender (2007) to advocate the use of firm fixed effect in capital...

Current literature has suggested that many factors affect a firm's capital structure decision and firms do not change their capital structure very often. Such a quot;stablequot; structure has prompted Lemmon, Roberts, and Zender (2007) to advocate the use of firm fixed effect in capital...