Previous research on the impact of currency risk on stock returns has failed to find a significant role for foreign exchange rates. This paper addresses several explanations of this finding with a unique dataset of U.S. firms that acquire targets in other countries. The dataset allows estimation...

Previous research on the impact of currency risk on stock returns has failed to find a significant role for foreign exchange rates. This paper addresses several explanations of this finding with a unique dataset of U.S. firms that acquire targets in other countries. The dataset allows estimation...

U.S. stocks are more volatile than stocks of similar foreign firms. A firm’s stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is...

Performance pricing (PP) is a feature of loans that allows for dynamic changes in rates in response to changes in the credit risk of the borrower without the need for costly renegotiation or default. This provides management with an incentive to manipulate its accounting measures and the...

Previous studies show mixed results about the out-of-sample performance of various asset-pricing anomalies. To reduce data-snooping bias, this paper simulates a real-time trader who chooses among all asset-pricing anomalies published prior to that time using only non-forward-looking filters. I...

This dissertation explores three issues regarding mutual funds. The first chapter examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond fund managers exhibit...