Background: We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios. Methods: Following Lakonishok et al. (J Financ 49:1541-1578,...

Background: We investigate whether the success of contrarian investment strategies can be attributed to differences in the relative illiquidity of stocks categorized as value investments versus those categorized as glamour portfolios. Methods: Following Lakonishok et al. (J Financ...

The correlation between interest rates and corporate bond yield spreads is a well-known feature of structural bond pricing models. Duffee (1998) argues that this correlation is weak once the effects of call options are removed from the data; a conclusion that contradicts the negative correlation...

Using a sample of politically-affiliated private firms in China, we explore the relation between corporate financial distress and earnings management. We further examine the joint moderating effects of political affiliation and regional development on this relation. The findings suggest that...

Using a sample of 4,195 observations from 19 emerging markets, we investigate how internal corporate governance, external monitoring, and legal and business environment jointly affect a firm's managerial effectiveness in environmental information transparency in an international setting. The...

We study how climate risk shapes financial-reporting conservatism with data collected from 47 countries, and document that firms facing more extreme weather conditions use less unconditional conservatism but more conditional conservatism in financial reporting. Furthermore, such impacts of...

We employ an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign equity returns. We identify the fundamental determinants of foreign equity return and foreign currency loadings with respect to the world equity factor and global currency risk...

We examine the return information conveyed by a firm’s dividend surprise, defined as the difference between a firm’s actual dividend per share (DPS) and investors’ expected DPS. We find that negative-surprise stocks (i.e., stocks in the lowest dividend surprise quintile) provide 5.64% more...

We propose idiosyncratic volatility based return spread as a new measure of the stock-level value of investor sophistication. We find that stocks with a high value of investor sophistication tend to have low average returns, and this effect is pronounced for highly short-sale constrained stocks....

We provide a theoretical framework to examine how investor sentiment impacts the mean-variance tradeoff. We derive a sentiment-adjusted Markowitz efficient frontier in which investor sentiment alters the first two moments of asset returns, the minimum-variance frontier as well as the Capital...