A growing number of studies in finance decompose multi-period buy-and-hold portfolioreturns into a series of single period returns. The method used to decomposethese returns is important because researchers use them in tests of asset pricing modelsand market efficiency and in evaluating the...

Applying the framework of conditional event studies shows that equity issues reveal managers‟private information about stock mispricing, which investors only partially discount into stockprices at the seasoned equity offering (SEO) announcement date. Negative abnormal returnsoccur as prices...

Applying the framework of conditional event studies shows that equity issues reveal managers' private information about stock mispricing, which investors only partially discount into stock prices at the seasoned equity offering (SEO) announcement date. Negative abnormal returns occur as prices...

Applying the framework of conditional event studies shows that equity issues reveal managers' private information about stock mispricing, which investors only partially discount into stock prices at the seasoned equity offering (SEO) announcement date. Negative abnormal returns occur as prices...

A growing number of studies in finance decompose multiperiod portfolio returns into series of single period returns, using these to test asset pricing models or market efficiency or to evaluate the returns to investment strategies such as those based on momentum and value-growth. We provide a...

In this paper, we make a liquidity adjustment to the consumption-based capital asset pricing model (CCAPM) and show that the liquidity-adjusted CCAPM is a generalized model of Acharya and Pedersen (2005). Using different proxies for transaction costs such as the effective trading costs measure...

In this paper, we propose a liquidity risk adjustment to the Epstein and Zin (1989, 1991) model and assess the adjusted model's performance against the traditional consumption pricing models. We show that liquidity is a significant risk factor and it adds considerable explanatory power to the...

Employment growth (EG) is likely related to liquidity fundamentals of investment opportunities, firm health, and information environment. This, in turn, implies that liquidity risk may play a role in explaining the relation between employment growth and stock returns. We explain the link between...