We conjecture that the forward puzzle may reflect career risks. When professional investors observe public danger signals about a currency, they require a premium for holding it. We find evidence of this in Exchange Rate Mechanism rates. As deep discounts do signal danger, we next specify...

Adherents of Fundamental Indexing (FI) suggest that it is more protable to base portfolio weights on indirectly size-related indicators like accounting data rather than directly on market caps. In noisy markets a la Roll (1984), it is argued, underpriced stocks overperform but are underweighted...

Two major ways of acquiring corporate control are by public take-over bid or a minority buyout of a large block holder of shares. Although the latter is less visible, Cynthia Van Hulle and Piet Sercu explore the relative benefits of a private block trade in conditions both with and without a...

The authors argue that it is bargaining, not competition, which determines the way gains are distributed in take-over bids. Focusing on 'unfriendly' take-overs, where the target company's current management leaves, they show how bargaining and bidding interact to generate the take-over price and...

In this paper we reconsider the estimated deadweight costs for the emerging countries implied by the mean-variance portfolio model developed by Cooper and Kaplanis (1994) and general- ized by Sercu and Vanp¶ee (2007). We show both theoretically and empirically that estimated implicit investment...

Using an international Thomson Reuters Datastream database where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset pricing test results. We also...