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Idiosyncratic risk and the cross-section of stock returns: Merton (1987) meets Miller (1977)

Boehme, Rodney D.; Danielsen, Bartley R.; Kumar, Praveen; … - In: Journal of Financial Markets 12 (2009) 3, pp. 438-468

Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483-510] predicts that idiosyncratic risk should be priced when investors hold sub-optimally diversified portfolios, and cross-sectional stock returns should be positively related to...

Persistent link: https://www.econbiz.de/10004973480

Estimation Risk, Information, and the Conditional CAPM: Theory and Evidence

Kumar, Praveen; Sorescu, Sorin M.; Boehme, Rodney D.; … - In: Review of Financial Studies 21 (2008) 3, pp. 1037-1075

We theoretically and empirically investigate the role of information on the cross section of stock returns and firms' cost of capital when investors face estimation risk and learn from noisy signals of uncertain quality. The resultant equilibrium is an information-dependent conditional CAPM. We...

Persistent link: https://www.econbiz.de/10005564177

Two centuries of innovations and stock market bubbles

Sorescu, Alina; Sorescu, Sorin M.; Armstrong, Will J.; … - In: Marketing science 37 (2018) 4, pp. 507-529

Persistent link: https://www.econbiz.de/10011916538

Short interest, returns, and unfavorable fundamental information

Akbas, Ferhat; Boehmer, Ekkehart; Erturk, Bilal; … - In: Financial management 46 (2017) 2, pp. 455-486

Persistent link: https://www.econbiz.de/10011748419

Capital market efficiency and arbitrage efficacy

Akbas, Ferhat; Armstrong, Will J.; Sorescu, Sorin M.; … - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 2, pp. 387-413

Persistent link: https://www.econbiz.de/10011577478

Customer satisfaction and long-tearm stock returns

Sorescu, Alina; Sorescu, Sorin M. - In: Journal of marketing 80 (2016) 5, pp. 110-115

Persistent link: https://www.econbiz.de/10011591210

Ownership structure, corporate governance and firm performance

Kumar, Praveen; Zattoni, Alessandro - In: Corporate governance : an international review 23 (2015) 6, pp. 469-471

Persistent link: https://www.econbiz.de/10011528914

Editorial: Executive compensation, board functioning, and corporate governance

Kumar, Praveen; Zattoni, Alessandro - In: Corporate governance : an international review 24 (2016) 1, pp. 2-4

Persistent link: https://www.econbiz.de/10011486058

Editorial: Institutional environment and corporate governance

Kumar, Praveen; Zattoni, Alessandro - In: Corporate governance : an international review 24 (2016) 2, pp. 82-84

Persistent link: https://www.econbiz.de/10011489779

Optimal capital structure and investment with real options and endogenous debt costs

Kumar, Praveen; Yerramilli, Vijay - In: The review of financial studies 31 (2018) 9, pp. 3452-3490

Persistent link: https://www.econbiz.de/10011927857