A basic tenet of financial economics is that asset prices change in response to unexpected fundamental information. Since Roll's (1988) provocative presidential address that showed little relation between stock prices and news, however, the finance literature has had limited success reversing...

Web 2.0 provides gathering places for Internet users in blogs, forums, and chat rooms. These gathering places leave footprints in the form of colossal amounts of data regarding consumers' thoughts, beliefs, experiences, and even interactions. In this paper, we propose an approach for firms to...

We revisit the issue of market reaction to product recall and evaluate the magnitude of market reaction to the news of recall. We also examine how the competitors' stock prices are affected by the product recall. Specifically, we evaluate the stock price effects of events relating to the recall...

In a comprehensive study extending prior research, Prince and Rubin (2002) use the event study methodology, and find negative market reaction to a sample of 15 initial filings of product liability litigation and 29 other litigation events against U.S. automakers between 1973 and 1995. They...

We use the theory of large deviations to investigate the large time behavior and the small noise asymptotics of random economic processes whose evolutions are governed by mean-reverting stochastic differential equations with (i) constant and (ii) state dependent noise terms. We explicitly show...

We study optimal incentive contracts in a continuous time principal-agent setting with hidden actions. The agent, whose effort controls the output, has a concave utility function which is non-separable in wealth and monetary cost of effort. The principal is risk neutral and optimally selects the...