Firms with higher (lower) vote values have significantly lower (higher) future returns. Constructing portfolios based on an option-based measure of the value of voting rights yields average return spreads of about 80 basis points per month, and the return differences persist up to ten months....

Little is known about how bank capital affects bank stock performance. We show that capital does not affect returns unconditionally, but high-capital banks have higher risk-adjusted stock returns (alphas) than low-capital banks in bad times in and out of sample. Trading strategies earn...

Recent studies find stock returns are negatively related to idiosyncratic volatility (IVOL). We find that aggregate variables known to explain stock market volatility affect the IVOL and portfolio returns sorted by IVOL. Macroeconomic volatilities, yield spreads, dividend yield, trading volume...

This paper investigates the effects of dynamic capital market conditions in a general equilibrium model, employing a process of switching steady-state levels of the volatility of market conditions (SS-uncertainty). Decision-makers predict SS-uncertainty regimes using past fundamental shocks, but...