This paper reports on experimental tests of an instantiation of the Lucas asset pricing model with heterogeneous agents and time-varying private income streams. Central features of the model (infinite horizon, perishability of consumption, stationarity) present difficult challenges and require a...

This article analyzes the impact on stock prices in the home market of important events associated with a U.S. listing. Events include the "filing effect" of financial statements made public by the SEC in preparation for an ADR program; the "announcement effect" of the forthcoming ADR program;...

We examine the extent to which investment opportunities and/or mispricing motivates equity issuance and contributes to post-issue stock underperformance. We decompose market-to-book ratios into misvaluation and growth option components and find that issuing firms are both overvalued and have...