We analyze a sample of private firms that go public through an initial public debt offering (IPDO) as an alternative to going public through equity (IPO). Firms that choose the IPDO route are larger, more likely to be backed by a financial sponsor such as a venture capital or private equity...

We analyze a sample of private firms that go public through an initial public debt offering (IPDO) as an alternative to going public through equity (IPO). Firms that choose the IPDO route are larger, more likely to be backed by a financial sponsor such as a venture capital or private equity...

Using a sample of 164 smart beta exchange-traded funds (ETFs) during 2003–2014, I analyze whether these funds beat their benchmarks by tilting their portfolios to various factors. I also test if smart beta funds harvest factor premiums more efficiently than their traditional cap-weighted...

Using a comprehensive sample of 164 domestic equity Smart Beta (SB) ETFs during 2003-2014 period, I analyze whether these funds beat their benchmarks by tilting their portfolios to well-known factors such as size, value, momentum, quality, beta and volatility. I then test if Smart Beta funds...

It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid holding these stocks due to diversification concerns, allowing deviations of prices from fundamental values. In this paper we test this proposition using hedge fund holding data....

This paper tests whether the dynamics of firm growth metrics, such as sales, investment growth, and changes in Ramp;D and acquisitions, are more consistent with firms delivering growth when stock prices are more sensitive to growth related news (the catering channel) or with firms learning from...

Typical socially responsible investors tilt their portfolios toward stocks of companies with high scores on social responsibility characteristics such as community, employee relations and the environment. We analyze returns during 1992-2007 of stocks rated on social responsibility by KLD and...

We offer a factor model for classifying socially responsible mutual funds and measuring their performance. Our factor model consists of six factors, the four widely used factors of market, small-large (SMB), value-growth (HML), and momentum, and two social responsibility factors, reflecting the...

This paper develops a novel stock-by-stock measure of investor sentiment which I call sentiment beta. It is defined as a sensitivity of stock returns to sentiment changes. Using this measure I test two hypotheses. First hypothesis postulates that sentiment affects stocks of some firms more than...