Author pages are created from data sourced from our academic publisher partnerships and public sources.
- Publications
- Influence
Toward an Implied Cost of Capital
- W. Gebhardt, Charles M. C. Lee, B. Swaminathan
- Economics, Chemistry
- 1 June 2001
In this study, we propose an alternative technique for estimating the cost of equity capital. Specifically, we use a discounted residual income model to generate a market implied cost-of-capital. We… Expand
Inferring Trade Direction from Intraday Data
- Charles M. C. Lee, M. Ready
- Economics
- 1 June 1991
This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. The authors document two potential problems with… Expand
Accounting valuation, market expectation, and cross-sectional stock returns
- R. Frankel, Charles M. C. Lee
- Economics
- 30 June 1998
Abstract This study examines the usefulness of an analyst-based valuation model in predicting cross-sectional stock returns. We estimate firms' fundamental values (V) using I/B/E/S consensus… Expand
Price Momentum and Trading Volume
- Charles M. C. Lee, B. Swaminathan
- Economics
- 1998
This study shows that past trading volume provides an important link between “momentum” and “value” strategies. Specifically, we find that firms with high ~low! past turnover ratios exhibit many… Expand
Tunneling through intercorporate loans: The China experience☆
- G. Jiang, Charles M. C. Lee, H. Yue
- Economics
- 1 October 2010
This study investigates a particularly brazen form of corporate abuse, in which controlling shareholders use intercorporate loans to siphon billions of RMB from hundreds of Chinese listed companies… Expand
Investor Sentiment and the Closed-End Fund Puzzle
- Charles M. C. Lee, A. Shleifer, R. Thaler
- Business
- 1 October 1990
This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory… Expand
Retail Investor Sentiment and Return Comovements
- A. Kumar, Charles M. C. Lee
- Business
- 1 October 2006
Using a database of more than 1.85 million retail investor transactions over 1991–1996, we show that these trades are systematically correlated—that is, individuals buy (or sell) stocks in concert.… Expand
Earnings news and small traders : An intraday analysis
- Charles M. C. Lee
- Business, Economics
- 1 June 1992
Abstract This study separates trading volume into buyer- and seller-initiated activities and examines the directional volume reaction in small and large trades to different types of earnings news.… Expand
Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis
- Charles M. C. Lee, Belinda Mucklow, M. Ready
- Economics
- 1 April 1993
For a sample of NYSE firms, we show that wide spreads are accompanied by low depths, and that spreads widen and depths fall in response to higher volume. Spreads widen and depths fall in anticipation… Expand
What is the Intrinsic Value of the Dow
- Charles M. C. Lee, J. Myers, B. Swaminathan
- Physics
- 1997
We model the time-series relation between price and intrinsic value as a cointegrated system, so that price and value are long-term convergent. In this framework, we compare the performance of… Expand