We show that portfolio sorts, as widely used in empirical asset pricing, tend to misattribute cross-sectional return predictability to the firm characteristic underlying the sort. Such misattribution arises if the sorting variable correlates with a firm-specific effect capturing unobservable...

We show that portfolio sorts, as widely used in empirical asset pricing, tend to misattribute cross-sectional return predictability to the firm characteristic underlying the sort. Such misattribution arises if the sorting variable correlates with a firm-specific effect capturing unobservable...

In dieser Dissertation werden drei Fragestellungen der Corporate Finance empirisch beantwortet. Kapitel 1 untersucht die negativen Auswirkungen auf Investitionen und Unternehmensfinanzierungsaktivitäten im Realsektor, die im Rahmen der Finanzkrise 2007-09 durch den Kollaps von drei führenden...

There is still no consensus regarding a generally accepted factor model to assess risk-adjusted hedge fund performance. In this paper, we compare three alternative factor models: the widely used Fung and Hsieh (2004) seven-factor model, a recently proposed extension to an eight-factor model, and...