Purpose – Estimates of systematic risk or beta are an important determinant of the cost of capital. The standard technique used to compile beta estimates is an ordinary least squares regression of stock returns on market returns using four to five years of monthly data. This convention assumes...

Purpose: In the context of public-private partnerships (PPPs), it has been argued that the standard valuation framework produces a paradox whereby government appears to be made better off by taking on more systematic risk. This has led to a range of approaches being applied in practice, none of...

The goal of this paper is twofold. First, we wish to better explain the relationship between Sargent and Wallace's (1981) unpleasant monetarist arithmetic, the closely connected fiscal theory of the price level (FTPL), and the monetarist view of inflation. Second, we discuss how the recent...

While Merton (1987) proposes that firm value increases with the number of shareholders, relatively few studies have explicitly sought to identify the factors that affect investor participation per se in equity markets. Using a unique dataset that measures the inflow and outflow of equity...

There is a substantial divide between evidence in the empirical literature and survey evidence in the financial press regarding the influence of sell-side analyst recommendations on the trading of mutual funds. While surveys of fund managers suggest that they assign little weight to analyst...

A public private partnership (PPP) is a contractual arrangement between government and the private sector, usually for the delivery of a piece of social infrastructure or a social service. Over the past 10 years, PPP activity around the globe amounts to many billions of dollars. The key features...

An implicit assumption of the tournament hypothesis of mutual fund behavior is that managers intentionally modify portfolio risk in response to interim out- or underperformance. We present empirical evidence that associations between interim performance and subsequent volatility remain present...