Journal: Journal of Finance

Found 18 papers in total
Why is long-horizon equity less risky? A duration-based explanation of the value premium
Why is long-horizon equity less risky? A duration-based explanation of the value premium
2007,
We propose a dynamic risk-based model that captures the value premium. Firms are...
Fund manager use of public information: new evidence on managerial skills
Fund manager use of public information: new evidence on managerial skills
2007,
We show theoretically that the responsiveness of a fund manager's portfolio...
Smart institutions, foolish choices: the limited partner performance puzzle
Smart institutions, foolish choices: the limited partner performance puzzle
2007,
The returns that institutional investors realize from private equity differ...
Financial synergies and the optimal scope of the firm: implications for mergers, spinoffs, and structured finance
Financial synergies and the optimal scope of the firm: implications for mergers, spinoffs, and structured finance
2007,
Multiple activities may be separated financially, allowing each to optimize its...
On the importance of measuring payout yield: implications for empirical asset pricing
On the importance of measuring payout yield: implications for empirical asset pricing
2007,
We investigate the empirical implications of using various measures of payout yield...
Simple forecasts and paradigm shifts
Simple forecasts and paradigm shifts
2007,
We study the asset pricing implications of learning in an environment in which the...
Participation costs and the sensitivity of fund flows to past performance
Participation costs and the sensitivity of fund flows to past performance
2007,
We present a simple rational model to highlight the effect of investors' participation...
The value of corporate risk management
The value of corporate risk management
2007,
We model and estimate the value of corporate risk management. We show how risk...
Sports sentiment and stock returns
Sports sentiment and stock returns
2007,
This paper investigates the stock market reaction to sudden changes in investor mood....
Rational inattention and portfolio selection
Rational inattention and portfolio selection
2007,
Costly information acquisition makes it rational for investors to obtain important...
Measuring distress risk: the effect of R&D intensity
Measuring distress risk: the effect of R&D intensity
2007,
Because of upward trends in research and development activity, accounting measures of...
Information cascades: evidence from a field experiment with financial market professionals
Information cascades: evidence from a field experiment with financial market professionals
2007,
Previous empirical studies of information cascades use either naturally occurring data...
Lower salaries and no options? On the optimal structure of executive pay
Lower salaries and no options? On the optimal structure of executive pay
2007,
We calibrate the standard principal–agent model with constant relative risk...
How costly is external financing? Evidence from a structural estimation
How costly is external financing? Evidence from a structural estimation
2007,
We apply simulated method of moments to a dynamic model to infer the magnitude of...
Exchange rates and cash flows in differentiated product industries: a simulation approach
Exchange rates and cash flows in differentiated product industries: a simulation approach
2007,
How do exchange rate changes impact firms' cash flows? We extend a simulation method...
Dynamic portfolio selection by augmenting the asset space
Dynamic portfolio selection by augmenting the asset space
2006,
We present a novel approach to dynamic portfolio selection that is as easy to...
The theory of bank risk taking and competition revisited
The theory of bank risk taking and competition revisited
2005,
There is a large body of literature that concludes that – when confronted with...
Optimal consumption and investment with transaction costs and multiple risky assets
Optimal consumption and investment with transaction costs and multiple risky assets
2004,
We consider the optimal intertemporal consumption and investment policy of a constant...
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