Three concepts: stochastic discount factors, multi-beta pricing and mean variance efficiency, are at the core of modern empirical asset pricing. This paper reviews these paradigms and the relations among them, concentrating on conditional asset pricing models where lagged variables serve as...

We document the effect on share value of a foreign firm listing on the New York, American Stock Exchanges or Nasdaq over-the-counter market. Our sample consists of over 160 firms from 14 countries that listed their shares for the first time in the US as ordinary listings or as American...

Micro-cap stocks, a subset of small stocks, have the potential to provide additional diversification benefits and increased returns to investors. The ways that micro-cap stocks can contribute to investors' actual portfolios have not been rigorously investigated. In this study, we examine...

This study investigates whether the voluntary disclosure of management earnings forecasts influences investors' assessment of firm risk and firm value. We find a significant negative relationship between the issuance of management earnings forecasts and a variety of measures of firm risk...

Although various income statement–based measures predict the cross section of stock returns, direct method cash flow measures have even stronger predictive power. We transform indirect method cash flow statements into disaggregated and more direct estimates of cash flows from operations and...

Writing good business case studies can be learned but doing so is never simple. So where should one begin with the seemingly daunting task of becoming a case writer? Our aim in this note is to offer a brief overview that can help to jump-start one's case writing efforts. We offer some thoughts...

Non-U.S. firms cross-listing shares on U.S. exchanges as American Depositary Receipts earn cumulative abnormal returns of 19 percent during the year before listing, an additional 1.20 percent during the listing week, but incur a loss of 14 percent during the year following listing. We show how...

This study investigates the long-run equity return performance of non-U.S. firms that raise capital in U.S. markets. Unlike domestic capital raising studies by Ritter (1991), Speiss amp; Affleck-Graves (1995) and Loughran amp; Ritter (1995) which uncover a long-run underperformance for initial...

new abstract and new pdf file Diane 10/22/98 DianeNon-U.S. firms cross-listing shares on U.S. exchanges as American Depositary Receipts earn cumulative abnormal returns of 19 percent during the year before listing, an additional 1.20 percent during the listing week, but incur a loss of 14...