This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty about the state of the economy as state variables that describe the time-variation in investment opportunities. Using measures of uncertainty constructed from the state probabilities estimated from...

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed...

I examine which economic uncertainty measures matter for the cross-section of corporate bond returns using 40 corporate bond portfolios for a long period from 1973 to 2020. Out of a comprehensive list of 24 economic uncertainty measures, I find that tax policy uncertainty is the most significant...

This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-Pratt measure of relative risk aversion for detecting the risk behavior of investors under all conditions, a new tool, that is, the sufficiency factor of the model was developed to analyze the risk...

The general view underlying bank regulation is that bank disclosures providemarket discipline and reduce banks' risk-taking incentives. We show that bankdisclosures can increase bank leverage and bank risk. The reason stems from theinteraction between insured and uninsured debt. Bank disclosures...

In this paper, we examine analyst annual earnings forecast accuracy and dispersion for firms undertaking SEOs. Specifically, we evaluate the difference in accuracy between new and old affiliate analysts when there is a change in the lead underwriter for the SEO. We also study the change of...

Fund families strategically shape their member funds' behavior to target specific groups of investors with varying performance and service needs. In this paper I introduce a new measure to identify performance-oriented and service-oriented funds. Matching theories from the industrial...

We conduct an event study to assess the stock market evaluation of public takeover announcements. Unlike the majority of previous research, we specifically focus on acquisitions targeted at newly public IPO-firms and show that the stock market positively evaluates these M&As as R&D. However,...

We investigate the relation of board structure through the appointments of outside directors and the role of busy directors on firm return on assets within an environment of no regulation for privately held firms and voluntary adoption of corporate best practices for security issuers with family...

Firms winning the R&D 100 Award, a prestigious award for technology breakthroughs in product inventions, provide significantly higher subsequent stock returns. We hypothesize that such return predictability stems from the awarded firms' access to high-end markets in segmented markets. We develop...