We empirically examine whether and how firm disclosures are related to the stock portfolio allocation and performance of individual and institutional investors. Our results suggest that, when the disclosure of a certain firm is greater (or increases), (1) the contemporaneous demand for that...

Event study methodology is used to analyze whether bad news in the form of environmental (EV) incidents affect firm value negatively. An international sample of firms with EV incidents is studied. It is found that EV incidents are generally associated with loss of value. For European firms the...

Purpose The purpose of this paper is to measure individual investors’ expectations of risk and return and to evaluate different expectation measures. Design/methodology/approach The authors measure individual investors’ expectations of risk and return regarding an index fund and two stocks...

Event study methodology is used to analyze whether bad news in the form of environmental (EV) incidents affect firm value negatively. An international sample of firms with EV incidents is studied. It is found that EV incidents are generally associated with loss of value. For European firms the...

Based on a formal model of how investments in corporate social responsibility act upon .rm value through goodwill, we derive the hypothesis that under uncertainty, bad news are detrimental to good-will, and subsequently have a negative impact on value. We examine by event study methodology...

This paper examines the performance of US stock portfolios constructed and rebalanced to have different environmental (EV) risk. EV risk is proxied by EV risk ratings from GES Investment Services. Portfolios with high EV risk generate higher raw returns than low EV risk portfolios, but when risk...

We derive analytical formulas for the post-horizontal and asymptotic behavior of earnings, dividends, book value, and key financial ratios, as implied by the terminal value model of constant perpetual abnormal earnings growth. The implications of Claus and Thomas (2001) (CT) abnormal earnings...