A generalized version of Fama's proxy hypothesis identifies a downward bias in Phillips curve estimations. The (spurious) negative relation between real stock returns and inflation emerges if output rate fluctuations dominate cyclical component fluctuations of a Lucas-type Phillips curve.

The abnormal returns for two types of announcement dates are examined for a large sample of stock splits on the Toronto Stock Exchange (TSE). The mean abnormal return is positive and statistically significant for the split proposal announcement date, and positive and not statistically...

We demonstrate theoretically and illustrate the implications of assuming power utility when the true function is of the expo-power form. Empirical results can appear to be consistent with cumulative prospect theory when they are in fact generated from a Markowitz model.