Recent research has studied the impact of asymmetry on cost of capital estimation, performance evaluation, and optimal portfolio composition. This study examines the impact of skewness preference on the risk premium of a gamble. The three-moment analogue of the Pratt-Arrow risk premium is...

This study investigates positive and negative price shocks in individual securities and the degree to which they affect related firms in the same industry. This price contagion effect is significant with initial price shocks leading to substantial long-term abnormal returns across firms in the...

Accounting Variance Analysis, a tool widely taught in academic environments, is important to the financial planning and analysis (FP&A) departments of firms. However, there is a dearth of evidence on how variance analysis is really applied in practice. Investor relations quarterly presentations...

We examine the impact of two defining social characteristics (individualism and risk aversion) and their interaction with governance and firm agency problems on capital structure in the G20 countries. With a sample of roughly 13,000 firms from 1995 to 2009, we show that higher levels of...

This paper investigates whether firms vary the debt side of their capital structure, based on changes in investor demand for bonds. Examining asset flows into various asset classes over the last 30 years reveals that companies respond to recent increases in demand for bonds from investors by...

We examine the time series asset pricing factor returns and their use in a portfolio that varies over time based on an investor's remaining human capital. Using of data for a common set of four different risk factors for the period 1980 to 2013, we show that risk premiums to different factors...

We argue that research on small firms is less informative than most scholars believe, which suggests that researchers and practitioners know less than they think. Research in small firm finance is hindered by a lack of good data, vague descriptions of methodology in the extant literature, and...

Research on angel investors is sparse because data are sparse. Most comprehensive studies of angel investors have focused on the US and UK. In these studies, definitions of angel investors and estimates of returns on angel investments vary dramatically. What can we make of this wide range of...

We examine the impact of social norms (individualism, risk aversion, and authoritarian control index) on firm capital structure in the G20 countries from 1995 through 2009. Our results show that increases in individualism increase firm willingness to use debt and decrease the average cost of...

This paper examines the impact of social norms on firm value and the capital structure of firms engaged in the production of tobacco, alcohol, and gambling services ('sin stocks') in the G20 nations. We first demonstrate that sin stocks are undervalued in countries where social norms are...