We investigate the behavior of stock market indices across 33 countries around political
election dates during the sample period 1974–1995. We find a positive abnormal return during …

This paper proposes a framework for corporate security valuation based on path-dependent,
barrier option models instead of the commonly used path-independent approach. We argue …

Economists have long recognized the importance of information veracity in valuing risky
securities. Market participants concerned about the credibility of information measures may …

Recent models and the popular press suggest that large groups of hedge funds follow similar
strategies resulting in crowded equity positions that destabilize markets. Inconsistent with …

We examine cumulative changes in investor sentiment and find that these changes relate to
extended periods of increasing overvaluation, followed by price corrections. The relation …

We introduce the method of estimating functions to study the class of autoregressive
conditional heteroscedasticity (ARCH) models. We derive the optimal estimating functions by …

… Jha, Korkie, and Turtle (2009) extend this work to provide a conditional alpha that is
consistent with an underlying conditional mean–variance decision framework. The resultant …

This paper develops the analytics and geometry of the investment opportunity set (IOS) and
the test statistics for self-financing portfolios. A self-financing portfolio is a set of long and …

We examine whether institutional investors are able to avoid future litigation. Our results show
that institutions provide a fiduciary role by decreasing or eliminating their positions in sued …

We consider the importance of legal opportunism as an explanation for observed litigation
following a large sample of initial public offerings (IPOs). We characterize legal opportunism …