We study 120 rights offerings by closed-end funds over 1988-1998. On average, rights offerings are announced when funds trade at a premium. This premium turns into a discount over the course of the offering. The premium decline is more severe when the increases in investment advisor's...

In 1990, Pennsylvania enacted Senate Bill 1310 which contains five provisions designed to make takeovers prohibitively expensive. Firms were permitted, however, to Opt out of some or all of the law's provisions. We examine the relation between the opt-out decision and attributes of corporate...

This paper studies the efficacy of pension fund activism and the ability or willingness of these funds to vote with their feet. I examine all firms targeted by nine major funds over a seven year period (1987-1993). Targeting announcements are associated with a small but significant wealth effect...

We study 67 rights offerings by closed-end funds over 1988-1994 and gauge their impact on the fund's shareholders and managers. We find that funds conduct rights offerings while they are trading at a premium, reverts to a discount after the offering. Theories of asymmetric information about...

In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition results in a state-dependent idiosyncratic risk premium...

The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries over to the futures market, and (b) whether there is...

We study the selection of private equity managers (GPs) for over 100,000 capital commitments between 1990 and 2019 by global institutional investors (LPs) choosing from a plausible contemporaneous opportunity set. In addition to chasing GPs with high prior performance, LPs have large...

The VIX index is not traded on the spot market. Hence, in contrast to other futures markets, the VIX futures contract and spot index are not linked by a no-arbitrage condition. We examine (a) whether predictability in the VIX index carries over to the futures market, and (b) whether there is...

I investigate the profitability and investment premium in stock returns using hand-collected data from Moody's Manuals for 1940-1963. Controlling for value, the profitability premium emerges as important in this period. In contrast, there no reliable relation between investment and returns,...

Barberis and Shleifer (2003) argue that style investing generates (a) comovement between individual assets and their styles, and (b) momentum and reversals in both style and asset returns. These predictions imply that one can use comovement to assess the impact of style investing on asset-level...