We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and quantitatively. Our central insight is that optimal investment is an important driving force of these anomalies. The model simultaneously reproduces procyclical equity issuance...

We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average levered investment returns to average observed stock...

We derive and test q-theory implications for cross-sectional stock returns. Under constant returns to scale, stock returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average levered investment returns to average observed stock...

This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...

This paper brings structural modeling to the literature on financial research in marketing. I estimate a dynamic investment-based model to understand the impact of advertising expenditures on stock returns and firm value. In addition, by interpreting advertising expenditures as an investment...

Corporate social responsibility (CSR) disclosure has now become a key strategy issue for companies, thus raising the question of how CSR information impacts investor behaviour. This paper sets out to examine this topic using social reporting rankings generated by an independent body, the CFIE...

In this paper, we assess the interaction between international firms' stakeholder performance and their stock market returns. Using data from more than 2,000 firms from 24 countries and 15 industries for the period 2003-2007, we analyze stakeholder performance for firms in different...

We analyze the impact of ESG rating score revisions on stock returns for U.S.-listed firms. Using holding periods of six months, we find that decreases in rating scores are followed by annualized negative abnormal returns of approximately 3%. These results are mostly due to large ESG score...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...

Applying a recently developed approach, the paper estimates the daily arrival rates of buy and sell orders originated from different trading motives for each stock in a sample of NYSE-listed companies. Based on these arrival rates, it shows that stock return tends to continue on consecutive days...