Abundant evidence indicates that financial asset returns are thicker-tailed than a normal distribution would suggest. The most negative outcomes which carry the potential to wreak financial disaster also tend to be the most rare and may fall outside the scope of empirical observation. The...

Cybersecurity breaches may be correlated due to geography, similar infrastructure, or use of a third-party contractor. We show how a copula model may be used to estimate the probability of an attack where breaches may be correlated among firms. Losses arising from cybersecurity breaches have an...

We examine the timing ability of mutual fund investors using cash flow data at the individual fund level. Over 1991-2004 equity fund investor timing decisions reduce fund investor average returns by 1.56% annually. Underperformance due to poor timing is greater in load funds and funds with...

After the Nasdaq and AMEX merged in 1998, officials of the new entity argued that some quot;smaller, harder to tradequot; companies on Nasdaq should switch to AMEX to improve liquidity. This recommendation is based on the traditional view among academics and practitioners alike that a...

Stock market reactions to cybersecurity breach announcements are generally negative. In virtually all cases, information asymmetry exists between firm management and investors between the date of cybersecurity breach discovery and the public announcement of the breach. We find significant...

This study examines why private equity issues tend to be a repeated source of financing for public firms. We test the recent operational needs theory of public equity issuance within the context of repeated private equity issues. We find that repeated PIPE issuers burn through cash quickly and...

This study examines the investment timing performance of equity mutual fund investors and its relationship to the distribution arrangement of the fund. We find that investors who transact through investment professionals using conventional distribution arrangements experience substantially...