It is well established that firms that undertake high levels of capital investment relative to their scale of operations, as measured by total assets, sales, or similar criteria, tend to have lower subsequent stock returns than firms with the opposite characteristic. Intuitively, this finding is...

We use Markov chain methods to develop a flexible class of discrete stochastic autoregressive volatility (DSARV) models. Our approach to formulating the models is straightforward, and readily accommodates features such as volatility asymmetry and time-varying volatility persistence. Moreover, it...

We use jurisdiction-specific effective tax rates (ETRs) to investigate income shifting as an aspect of tax avoidance by U.S. firms. Our central prediction is that tax-based incentives for shifting income, as measured by the spread between domestic and foreign ETRs, should be reflected in the...

We use jurisdiction-specific effective tax rates (ETRs) to investigate income shifting as an aspect of tax avoidance by U.S. firms. Our central hypothesis is that tax-based incentives for shifting income, as measured by the spread between domestic and foreign ETRs, should be reflected in the...

We use Markov chain methods to develop a flexible class of discrete stochastic autoregressive volatility (DSARV) models. Our approach to formulating the models is straightforward, and readily accommodates features such as volatility asymmetry and time-varying volatility persistence. Moreover, it...