Financial analysts may have strategic incentives to herd or to anti-herd when issuing forecasts of firms' earnings. This paper develops and implements a new test to examine whether such incentives exist and to identify the form of strategic behavior. We use the equilibrium property of the...

If equity and corporate bond markets are integrated, risk premia in one market should appear in the other, and their magnitudes should be consistent with each other. We use this insight to examine market integration between equity and corporate bonds in the cross section. Some variables (e.g.,...

This study investigates the effects of labor costs on firms' capital investments and stock returns. I estimate wage premia across U.S. industries and show that the negative investment-return relation implied by q-theory is steeper for firms paying high wage premia than for firms paying low wage...

We investigate how corporate environmental responsibility (CER) actions affect firm value. We adopt an event studies approach using two narrowly-decided 5-to-4 Supreme Court rulings and show that firms gain value when they are expected to increase their CER activities. The market reactions are...

We show that a parsimonious factor model can alleviate the problems of using raw historical data subject to large idiosyncratic noise in mean-variance portfolio optimization. Through the factor structure, we incorporate forward-looking information into the expected returns, exploiting a set of...

We show that structured equity derivatives could cause a significant price dislocation of the underlying stock upon an event of dramatic payoff change. Moreover, one event causes another: the event cascade amplifies the magnitude of the impact. We find that a single event accounts for -6.4%...