The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost...

The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. This paper reexamines the relation between FCOJ futures returns and fundamentals, focusing primarily on temperature. We show...

This paper presents a general, nonlinear version of existing multifactor models, such as Longstaff and Schwartz (1992). The novel aspect of our approach is that rather than choosing the model parameterization out of quot;thin air,quot; our processes are generated from the data using...

We analyze the determinants of buyout funds' investment decisions. We argue that when the supply of capital is lsquo;sticky' in the short run, the timing of funds' investment decisions, their risk-taking behavior, and their subsequent returns depend on changes in the demand for private equity,...

We analyze the determinants of buyout funds' investment decisions. We argue that when the supply of capital is lsquo;sticky' in the short run, the timing of funds' investment decisions, their risk-taking behavior, and their subsequent returns depend on changes in the demand for private equity,...

We analyze the determinants of buyout funds' investment decisions. We argue that when the supply of capital is lsquo;sticky' in the short run, the timing of funds' investment decisions, their risk-taking behavior, and their subsequent returns depend on changes in the demand for private equity,...

This paper provides one potential explanation for the rise, persistence and eventual fall of internet stock prices. Specifically, we appeal to a model of heterogenous agents with varying degrees of beliefs about asset payoffs who are subject to short sales constraints. In this framework, it is...

Using a unique dataset of private equity funds over the last two decades, this paper analyzes the cash flow, return, and risk characteristics of private equity. Unlike previous studies, we have detailed cash flow data for each fund, rather than aggregate or accounting returns. We also know the...

This paper provides one potential explanation for the rise, persistence and eventual fall of internet stock prices. Specifically, we appeal to a model of heterogenous agents with varying degrees of beliefs about asset payoffs who are subject to short sales constraints. In this framework, it is...

The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost...