Using a sample of 24 US banks from 1997 to 2004, we examine the relationship between value-at-risk (VAR) for trading activities and banks' cost of equity capital. We show that the implied cost of equity capital and the bid-ask spread, both proxying for the cost of equity capital, is positively...

Firms invest non-trivial resources to avoid paying taxes. One of the presumed incentives for doing so is that it should increase the value of the firm. Surprisingly, a large number of studies find that tax expense is positively related to stock returns, suggesting that paying more taxes is good...

The sensitivity of stock valuations to expected earnings growth, termed as the growth premium, fluctuates substantially over time. This study empirically investigates whether these fluctuations can be explained by investor sentiment. The testable prediction is that investor sentiment affects the...

This paper develops an analytically coherent yet parsimonious framework which explains market returns in terms of contemporaneous information. It anchors on the idea that valuation (static perspective) can be connected to the dynamics that explains returns, and vice versa. The framework requires...