A growing literature uses the Russell 1000/2000 reconstitution event as an identification strategy to investigate corporate finance and asset pricing questions. To implement this identification strategy, researchers need to approximate the ranking variable used to assign stocks to indexes. We...

The book deals with several aspects of the impact of corporate financial decisions on market value. In particular, the implications of market efficiency for prices and dividends are examined in details through both analytical methods and numerical simulations. The book also analyzes: a) the...

We derive equilibrium asset prices when fund managers deviate from benchmark indices to exploit noise-trader induced distortions but fund investors constrain these deviations. Because constraints force managers to buy assets that they underweight when these assets appreciate, overvalued assets...