Despite widespread media interest in bull and bear markets, academic research that seeks to formally define bull markets is almost non-existent. This paper defines bull and bear markets in relation to a simple model of mean return regimes, and implements the definition using two formal turning...

Chinese companies report year-end earnings and dividends simultaneously, so when the two sets of news are in conflict, the relative importance of earnings versus dividends can be disentangled. Chinese dividend announcements take precedence over earnings news, as revealed by Cumulative Absolute...

Whether Republican or Democratic presidents are better for the the stock market has been closely scrutinized for years. Although much of it is discussed only in casual terms, a recent academic study by Santa Clara and Valkanov (2003) documenting that the market does significantly better under...

The market for unseasoned equity has the unusual and distinguishing feature of periods of concentrated activity in terms of both volume and underpricing. This paper formally documents the existence of such periods using a regime-switching model that dates transitions between hot and cold states....

This paper provides a method for testing for regime differences when regimes are long-lasting. Standard testing procedures are generally inappropriate because regime persistence causes a spurious regression problem - a problem that has led to incorrect inference in a broad range of studies...

We explore the effect of economic policy uncertainty on board gender diversity. Prior research shows that female directors play a beneficial role. The advantage of board gender diversity should be particularly helpful when firms have to navigate an uncertain environment. So, we hypothesize that...

Exploiting a novel measure of corporate culture based on cutting-edge machine learning algorithms, we examine how female board representation influences a culture of innovation, and also whether female directors spur innovation culture in the presence of an active takeover market. Our results...

This paper investigates whether there is a banking risk premium that helps explain the returns of US publicly listed firms. We assess this phenomenon in the context of the capital asset pricing model and the Fama and French three-factor model. We use bank size to create the banking factor – a...

Purpose: Exploiting a novel measure of innovation, we investigate whether independent directors improve innovation efficiency. This novel measure of innovation captures the extent to which the firm generates revenue from its R&D and is therefore more economically meaningful. We also employ a...