Liquidity plays an increasingly important role in empirical asset pricing, market efficiency, and corporate finance. Identifying high quality proxies for liquidity based on daily data only (not intraday data) would permit liquidity to be studied over relatively long timeframes and across many...

How do different databases define a firm? What are the rules for listing/de-listing firms across different databases? In this paper we show that the divergence in the criteria for listing/de-listing firms between the CRSP and TAQ databases is significant enough to impact the magnitude and...

This paper examines the first survivorship bias-free panel dataset of equity portfolio managers who manage portfolios primarily for pension funds. We find that portfolios cease to exist at an average rate of 1.68% per quarter from June 1993 to December 2004. Survival bias is 74.1 basis points...

To study the welfare effects of investment barriers and the opening of markets to foreigners, we construct an equilibrium model of international asset pricing without agency costs that allows endogenous market participation among heterogeneous agents. Equilibrium prices and the set of...

Regulators typically assume that public financial disclosure is necessary for the efficient functioning of capital markets. Economists recognize that other mechanisms, such as insurance, can mitigate problems occurring when buyers have less information than sellers. We examine whether public...

This paper tests whether portfolio managers can make reliable predictions of the portfolio variance with available risk measures. Using out-of-sample tests, we compare four sets of models for their ability to predict portfolio variance. The models are based on: (I) time series of returns, (ii)...

We provide rationale, conditions, and insights for "customized" pricing in markets, that is, for equilibria where different buyers pay different prices for similar products. We use a Spence/Riley signaling model enhanced by a signaling methodology under random relations between costs and...

This paper finds that discounts and premiums of closed-end funds reflect the marketacirc;not;quot;s assessment of anticipated managerial performance. Using single and multiple benchmarks, we present evidence that there is a significant and positive relation between stock fund premiums and future...

Strong-form efficiency on the Toronto Stock Exchange is examined by focusing on the stock price forecasts of brokerage-firm analysts who follow TSE firms. Two principal analyses are undertaken. First, there is considerable evidence in both the U.S. and U.K. that analysts possess valuable private...

Regulators typically assume that public financial disclosure is necessary for the efficient functioning of capital markets. Economists recognize that other mechanisms, such as insurance, can mitigate problems occurring when buyers have less information than sellers. We examine whether public...