Purpose – The purpose of this paper is to examine the dynamic relationships among investment, earnings and dividends for US firms. The sample period is 1950-2006. Design/methodolgy/approach - The authors use a firm-level vector auto-regression (VAR) framework to examine the firm-level dynamics...

This study provides new evidence on the industrywide impact of strikes by investigating how strikes have affected the values of struck and nonstruck airlines. Using stock market data for the years 1963-86, the authors show that most strikes adversely affected the value of struck airlines' stock...

Previous research shows, using data from three quarters after the implementation of regulation fair disclosure (Reg FD), that there is an improvement in the informational efficiency of stock prices after Reg FD. We compare the informational efficiency of stock prices in four pre-Reg FD quarters...

This study tests whether belief differences affect the cross-sectional variation of risk-neutral skewness using data on firm-level stock options traded on the Chicago Board Options Exchange from 2003 to 2006. We find that stocks with greater belief differences have more negative skews, even...

This paper analyzes the incentive affects of flat-fee and percentage commission systems from the perspective of the economic theory of agency. Under a plausible set of assumptions the systems provide equivalent incentives. However, the relative desirability of the two systems depends upon the...

This article presents an alternative system for selling real estate. It overcomes the well-known deficiencies of the percentage commission system. In our system, the agent purchases the property from the seller and simultaneously receives a put option. The put option gives the agent the right to...

We provide evidence on the role of commodity futures in portfolios comprised of stocks, bonds, T‐bills, and real estate. Over the period investigated (1973–1997), Markowitz optimization over a range of risk levels gives substantial weight to commodity futures, thereby enhancing the...