Using proprietary data on stock loan fees and stock loan quantities from a large institutional investor, we clarify the nature of the correlation between shorting indicators and stock prices. Employing a unique identification strategy, we are able to isolate shifts in the supply and demand for...

Large blocks of stock play an important role in many studies of corporate governance and finance. Despite this important role, there is no standardized data set for these blocks, and the best available data source, Compact Disclosure, has many mistakes and biases. In this paper, we document...

The recent rise in shared appreciation mortgage (SAM) availability motivates careful consideration of underlying borrower incentives. The lender's share of appreciation in SAMs (share) is essentially a dynamic prepayment penalty imposed on the borrower. However, the borrower faces a moral hazard...

We find that analysts who issue more accurate earnings forecasts also issue more profitable stock recommendations. The average factor-adjusted return associated with the recommendations of analysts in the highest accuracy quintile exceeds the return for analysts in the lowest accuracy quintile...

A call option price is always an increasing and convex function of the underlying asset price whenever the underlying asset price follows a diffusion whose volatility depends only on time and the concurrent asset price-a one-dimensional diffusion. We empirically examine how often the observed...

This paper examines the stock price impact of terrorist attacks. Using an official list of terrorism related incidents compiled by the Counterterrorism Office of the U.S. Department of State, we identify 75 attacks between 1995 and 2002 in which publicly traded firms are targets. An event study...

We study an important recent series of buyback auctions conducted by the U.S. Treasury in retiring $67.5 billion of its debt. We find that the Treasury was successful in buying back large amounts of illiquid debt while suffering only a small volatility-related market-impact cost. Although the...

This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions...

This paper specifies and tests an equilibrium asset pricing model with liquidity risk at the global level. The analysis encompasses 25,000 individual stocks from 48 developed and emerging countries around the world from 1988 to 2004. Though we cannot find evidence that the liquidity adjusted...