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...

Recent studies identify stock return patterns associated with changes in Federal Reserve monetary policy. We find that these return patterns prevail across sixteen industry stock indices. However, significant cross-industry variation exists as the apparel industry exhibits mean annual returns...

This paper examines the behavior of managerial investment, dividend, and capital structure decisions subsequent to the adoption of stock options as part of the compensation package. Previous studies have documented a positive stock market reaction to changes in incentive compensation plans. The...

We examine changes in equity and asset betas around convertible bond calls and report two major findings. First, calling firms exhibit an increase in asset betas following the call. We argue that the finding is consistent with the implications of the sequential financing theory but not of the...