While recent studies document increasing idiosyncratic volatility over the past four decades, an explanation for this trend remains elusive. We establish a theoretic link between growth options available to managers and the idiosyncratic risk of equity. Empirically both the level and variance of...

This paper examines the association between financial statement variables and expected earnings growth. The main objective of the paper is to evaluate the usefulness of accounting numbers as surrogates or proxies for analysts' expectations of earnings growth. Results indicate that virtually all...

Insurance company risk is assessed after their acquisitions. An acquisition may increase risk if it is a strategic mismatch, or an acquisition may reduce risk through cash flow diversification. Over thirty-six month periods surrounding insurance company acquisitions, systematic risk changes are...

Corporate innovation is an increasingly important topic that has attracted great attention from academic researchers in financial economics in recent years. Although the top three finance journals (i.e. the Journal of Finance, the Journal of Financial Economics, and the Review of Financial...

We propose the standard neoclassical model of investment under uncertainty with short-run adjustment frictions as a benchmark for earnings-return patterns absent accounting influences. We show that our proposed benchmark generates a wide range of earnings-return patterns documented in accounting...

Professors John Campbell and Robert Shiller's Cyclically Adjusted Price-Earnings (CAPE) Ratio has proven to be a powerful descriptor, as well as a useful predictor, of long-term equity returns in the United States and some global markets. In recent years, though, it has been criticized for being...

We examine the impact of conditional conservatism on earnings management. Our findings support the view that conditional conservatism reduces accruals-based earnings management but also triggers a trade-off between accruals and real earnings management. Notwithstanding this trade-off, we show...

The term “equity premium puzzle” was coined in 1985 by economists Rajnish Mehra and Edward C. Prescott. The equity premium puzzle in considered one of the most significant questions in finance. A number of papers have explored the fundamental questions of why the premium exists and has not...

The fuzzy transform (F-transform), introduced by I. Perfilieva, is a powerful tool for the construction of fuzzy approximation models; it is based on generalized fuzzy partitions and it is obtained by minimizing a quadratic (L₂-norm) functional. In this paper we describe an analogous...

This article develops and implements a Real Options approach to value renewable natural resources in the case of Marine Fisheries. The model includes two sources of uncertainty: the resource biomass and the price of fish, and it can be used by fisheries to optimally adapt their harvesting...