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Standard portfolio theories of the home bias are disconnected from corporate finance theories of insider ownership. We merge the two into what we call the optimal ownership theory of the home bias. The theory has the following components. In countries with poor governance, it is optimal for insiders to own large stakes in corporations and for large(More)
Although the modern theory of financial intermediation portrays liquidity creation as an essential role of banks, comprehensive measures of bank liquidity creation do not exist. We construct four measures and apply them to data on U.S. banks from 1993-2003. We find that bank liquidity creation increased every year and exceeded $2.8 trillion in 2003. Large(More)
We find strong lunar cycle effects in stock returns. Specifically, returns in the 15 days around new moon dates are about double the returns in the 15 days around full moon dates. This pattern of returns is pervasive; we find it for all major U.S. stock indexes over the last 100 years and for nearly all major stock indexes of 24 other countries over the(More)
and the University of Mississippi for helpful comments. A previous version of a portion of this work was titled " The impact of competitive intensity on the profitability of investments and future stock returns. " A new measure of competition based on 10­K filings: Derivations and implications for financial statement analysis ABSTRACT In this paper we(More)
We reexamine the existence of earnings announcement-day premia and find that they persist beyond the sample period of earlier studies, over different disclosure environments and remain robust to the refinement of using the expected announcement day rather than the actual announcement day. We provide evidence that the premia are reduced in the presence of(More)
Investors, regulators, academics, and researchers all emphasize the importance of comparability. However, an empirical construct of financial statement comparability is typically not specified. In addition, little evidence exists on the benefits of comparability to users. This study attempts to fill these gaps by developing a measure of financial statement(More)
an anonymous referee, and workshop participants at Chicago, MIT, Northwestern, and UIUC for their comments and suggestions. We gratefully acknowledge the financial support of the Graduate School of Business of the University of Chicago and the William Ladany Faculty Research Fund. We also thank the contribution of I/B/E/S International Inc. for providing(More)
The recent financial crisis has led to a major debate about fair-value accounting. Many critics have argued that fair-value accounting, often also called mark-to-market accounting, has significantly contributed to the financial crisis or, at least, exacerbated its severity. In this paper, we assess these arguments and examine the role of fair-value(More)