We show that understanding the role of analysts' forecast bias is central to discovering the behavior that causes some stocks to have high analyst forecast dispersion. This finding is important because stocks with high analyst forecast dispersion contribute significantly to many important...

Shareholder participation in domestic rights offerings averages only 64%, which is considerably lower than previously thought. This causes wealth transfers from nonparticipating to participating shareholders which average 7% of the value of the offering. Wealth transfers are larger in...

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk index and, within their time period, concur with their risk premium estimate. An out-of-their-time-period analysis finds post-time-period returns that are higher and...

Analysts' price targets and recommendations contradict stock return anomaly variables. Using an index based on 125 anomalies, we find that analysts' annual stock return forecasts are 11% higher for anomaly-shorts than for anomaly-longs. Anomaly-shorts' return forecasts are excessively...

We estimate apples-to-apples comparisons of flows to active mutual funds, index mutual funds, and exchange traded funds (ETFs). The positive contemporaneous correlations between market returns and aggregate flows that were commonplace for active funds are now only prominent for ETFs. The monthly...