Using a new variable based on a model of dividend smoothing, we find dividend growth is highly predictable and cash flow news contributes importantly to return variability. Cash flow betas derived from this predictability are central to explaining the size effect in the cross section of returns....

Previous research has documented robust links between seasonal variation in length of day, seasonal depression (known as seasonal affective disorder, or SAD), risk aversion, and stock market returns. The influence of SAD on market returns, known as the SAD effect, is large. We study the SAD...

We find that early exercise premiums of exchange-traded single-stock American puts, in excess of the GBM-world premium, can negatively predict future stock returns. Simulation evidence suggests that stock price jumps can positively drive the excess premium, while jumps can also negatively induce...

Recent research has examined asymmetries in firms' adjustments toward target leverage. Assuming firms mainly adjust their debt levels, Byoun (Journal of Finance, 2008) finds that firms adjusting most quickly possess two important characteristics: above-target debt and a financing surplus. Using...

Many popular techniques for determining a securities firm's value-at-risk are based upon the calculation of the historical volatility of returns to the assets that comprise the portfolio and of the correlations between them. One such approach is the JP Morgan RiskMetrics methodology using...

The usual measure of the undiversifiable risk of a portfolio is its beta. Recent research has allowed beta estimates to vary over time, often based on symmetric multivariate GARCH models. There is, however, widespread evidence in the literature that the volatilities of asset returns, in...

This paper evaluates the extent to which the performance of English Premier League football club managers can be attributed to skill or luck when measured separately from the characteristics of the team. We first use a specification that models managerial skill as a fixed effect and we examine...

This study investigates the differential impact that various dimensions of corporate social performance have on the pricing of corporate debt as well as the assessment of the credit quality of specific bond issues. The empirical analysis, based on an extensive longitudinal dataset, suggests that...