As is well known, when using an information criterion to select the number of common factors in factor models the appropriate penalty is generally indetermine in the sense that it can be scaled by an arbitrary constant, c say, without affecting consistency. In an influential paper, Hallin and...

In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from...

This study examines the extent to which stock prices comove in an emerging economy, India. We first document that stocks listed on the National Stock Exchange (NSE) comove. Further, we find that synchronicity is positively associated with growth and earnings volatility and negatively associated...

We investigate the incremental information conveyed by management forecast errors over and above the consensus analyst forecast error at the time of earnings announcement. To the extent that analysts rationally revise their forecasts to subsume information contained in management releases, it is...

This study focuses on the impact of the California Non-Profit Integrity Act (2004) on executive compensation costs in affected nonprofit organizations. We find that, for affected organizations, executive compensation costs during post-regulation periods have gone up in comparison to control...

Analysts’ cash flow (CPS) forecasts have been the topic of much recent research. While some prior research (for example, Givoly et al., 2009) suggests that these forecasts have very limited usefulness, Call et al. (2012) find evidence to the contrary. We take this body of research forward and...

Understanding how agents formulate their expectations about Fed behavior is critical for the design of monetary policy. In response to a lack of empirical support for a strict rationality assumption, monetary theorists have recently introduced learning by agents into their models. Although a...

It has been well documented that the consensus forecast from surveys of professional forecasters show a bias that varies over time. In this paper, we examine whether this bias may be due to forecasters having an asymmetric loss function. In contrast to previous research, we account for the time...

The difficulty of predicting stock returns has recently motivated researchers to start looking for more powerful tests, and the current paper takes a step in this direction. Unlike existing tests, the test proposed here exploits the information contained in the heteroskedasticity of returns,...

First-differencing is generally taken to imply the loss of one observation, the first, or at least that the effect of ignoring this observation is asymptotically negligible. However, this is not always true, as in the case of GLS detrending. In order to illustrate this, the current paper...