The reform of corporate governance is again on the agenda in the wake of Enron and excessive risk-taking by financial institutions. However, the search for new and better forms of governance often seems to lack guiding principles. A theory of corporate governance ought to emerge from a theory of...

Advertising and its effects have been debated for well over a century. In the last few decades a generally sceptical view of the benefits of advertising has been overturned by a series of academic advances in economics that detail a variety of ways in which advertising may affect the economy and...

We propose a portfolio construction method that accounts for the regime-dependent behavior of stocks, thereby impacting their expected returns. Using a hidden Markov model (HMM) and a regime-weighted least-squares approach, we estimate forward-looking regime-conditional factors. These factors...

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by EM algorithm, which in the current context only requires iteratively calculating regime probabilities and principal...

This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model para- meters are estimated jointly by the EM (expectation maximization) algorithm, which in the current context only requires iteratively calculating...