We study, using the idea of stochastic dominance, the long-run post merger stock performance of UK acquiring firms. We compare performance by using the entire distribution of returns rather than only the mean as in traditional event studies. Our main results are as follows: First, we find that,...

In this paper we find that the decline in the momentum profitability is partly driven by option trading. Momentum profits arise from the short leg and therefore on barriers to short selling. We find strong evidence that the presence of stock options creates alternate avenues for short selling,...

We use a consumption-based asset pricing model with Epstein-Zin-Weil recursive preferences to explain the cross-section of excess returns on nominal US Treasury bond portfolios. We use a novel approach to extract the model factors from a FAVAR using a large panel; of macro and financial data. We...

We study the cross-section of expected corporate bond returns using an inter-temporal CAPM (ICAPM) with three factors: innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of corporate bond market index portfolios....

In this paper, we investigate the value versus growth strategies from the perspective of stochastic dominance. Using half century US data on value and growth stocks, we find strong evidence that value stocks stochastically dominate growth stocks in all three-order of stochastic dominance...

We re-visit long-run performance after IPOs using a model-free stochastic dominance approach that allows us to compare the empirical distribution of portfolio payoffs while incorporating assumptions about investors' preferences. Our main results are as follows. First, we find that investors, who...

Studies of long-run stock price abnormal performance aftercorporate events are plagued by difficulties in statistical inference and the inevitable joint hypothesis problem in tests of market efficiency. In this paper, we study long-run performance using a 'model-free' stochastic dominance...

We re-visit the long-horizon underperformance following seasoned equity offerings (SEOs) from an asset allocation perspective. We focus on the economic value, to a mean-variance investor, of investing in a SEO portfolio relative to a set of benchmark portfolios. As a result, we are able to avoid...

We study the long-run abnormal performance of a sample of UK firms following convertible security issues over the period 1982-1996. We make the following contributions relative to prior research. We are the first to study long-run stock price performance of firms following convertible preference...