We examine pedigree and placement effects of research productivity in finance and find a notable placement effect: authors who are currently affiliated with "elite" institutions tend to be more productive, especially among the top three finance journals. The placement effect, however, weakens in...

We examine the extent to which security analysts are homogeneous in their effect on firm valuation as measured by Tobin's "Q". Earlier research documents a significant and positive relation between analyst coverage and firm valuation. We identify three classes of equity analysts and examine...

Purpose – The purpose of this paper is to investigate the relationships between the Index of Economic Freedom, equity market performance and its volatility. Design/methodology/approach – The paper examines whether the level of economic freedom is significant for a country's stock market...

We examine two hypotheses to explain stock mispricing: i) the money illusion hypothesis (Modigliani and Cohn (1979)) and ii) the resale option hypothesis (Scheinkman and Xiong (2003)). We find that the money illusion hypothesis may explain the level, but not the volatility, of mispricing in the...

We study the autocorrelation and conditional volatility of the hourly Dow Jones Industrial Index return data from October 1974 to September 2002 using an exponential asymmetric AR-GARCH specification with a generalized error distribution. Our findings document a positive autocorrelation in...