We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...

Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of...

type="main" <p>This study examines options’ market behavior before analysts’ initiations. We find abnormal trading activity in the options market several days prior to the release of analysts’ initiations. Informed traders recognize the content and timing of the initial recommendations. We...</p>

Purpose – The purpose of this paper is to examine the association between institutional investor ownership and the compensation of executives at US banks during the financial crisis period. Design/methodology/approach – This paper uses a linear regression model to examine the association...

Purpose – The purpose of this paper is to examine the association between institutional investor ownership and the compensation of executives at US banks during the financial crisis period. Design/methodology/approach – This paper uses a linear regression model to examine the association...