In 2016, Eugene Fama mentioned that he wanted a systematic way of identifying and predicting a stock market bubble. This paper develops a simple statistical method to sequentially monitor the stock market price changes. A new and simple boundary function is proposed, and asymptotic properties...

AbstractFama and French (2006) use the dividend discount model to develop the joint role of three variables – expected profitability, expected investment and current BM – in predicting future stock returns. One reported empirical result is anomalous. The valuation model establishes that the...

We develop a dynamic equilibrium model to derive testable time-series and cross-sectional implications for the endogenous relations among ownership concentration, managerial incentives, and asset prices. For a given firm at any date, ownership concentration is positively related to managerial...

Time-varying leverage driven by common shocks to firm asset returns introduces a factor structure in idiosyncratic equity return volatilities (IVOL). In a standard dynamic capital structure model in which the CAPM holds for asset returns, we show that three factors explain the IVOL...