This paper applies the methodology of Bai and Ng (2002, 2004) for decomposing large panel data into systematic and idiosyncratic components to both returns and turnover. Combining the methodology with a generalized-least-squares-based principal components procedure, we demonstrate that this...

This paper introduces a recently developed consistent statistic by Bai and Ng (2002) to determine the number of factors in an approximate multifactor model. We use this new approach to study a recent work by Lo and Wang (2000), which shows that a multifactor asset-pricing model not only imposes...

This paper applies the methodology of Bai and Ng (2002, 2004) for decomposing large panel data into systematic and idiosyncratic components to both returns and turnover. Combining the methodology with a generalized-least-squares-based principal components procedure, we demonstrate that this...

The methodology of Bai and Ng (2002, 2003) for decomposing large panel data into systematic and idiosyncratic components is applied to both returns and turnover. Combining this with a GLS-based principal components approach, we demonstrate that their procedure works well for both returns and...

The methodology of Bai and Ng (2002, 2003) for decomposing large panel data into systematic and idiosyncratic components is applied to both returns and turnover. Combining this with a GLS-based principal components approach, we demonstrate that their procedure works well for both returns and...

We document that stocks that have optimistic (pessimistic) consensus recommendations and are currently held by many short-term institutions exhibit large stock-return reversals: Their large past outperformance (underperformance) is followed by large negative (positive) future alphas. The...

Prices of equity index put options contain information on the price of systematic downward jump risk. We use a structural jump-diffusion firm value model to assess the level of credit spreads that is generated by option-implied jump risk premia. In our compound option pricing model, an equity...

This study looks inside a large retail-banking group to understand how influence within the group affects internal capital allocations and lending behavior at the member bank level. The group consists of 181 member banks that jointly own a headquarters. Influence is measured by the divergence...

This paper introduces measures of volatility and skewness that are based on individual stock options to explain credit spreads on corporate bonds. Implied volatilities of individual options are shown to contain important information for credit spreads and improve on both implied volatilities of...

We study the market for CEO talent in public U.S. firms during the years 1993-2005. CEO talent pools are not homogenous across firms and industries. About 68% of new CEOs are former employees of their own firms (“insider CEOsâ€) and the rest come from outside the firm (“outsider...