Many investors were upset with the losses they experienced by following the recommendations of stock analysts during the recent market downturn. Allegations that these recommendations were often tainted by investment banking relationships fueled their anger. This study examines the investment...

We examine the links among IPO underpricing, post-IPO analyst coverage, and the likelihood of switching underwriters. Our findings indicate a significant positive relation between underpricing and analyst coverage by the lead underwriter. This positive association is robust to controls for other...

I estimate seven popular asset pricing models using restrictions on the mean and variance of the price-dividend ratio. Matching the high variability in observed price-dividend ratios is an interesting challenge for the models. In addition, restrictions such as these are useful in evaluating...

Recent asset pricing research claims that quot;real options'quot; models generate dynamic risks related to firm investment policy and provide a rational explanation for size and value effects. We examine the empirical success of these dynamic beta models using both simulations and data from U.S....

We use transaction-level data and decompose the US equity premium into day (open to close) and night (close to open) returns. We document the striking result that the US equity premium over the last decade is solely due to overnight returns; the returns during the night are strongly positive,...