Learn More
This paper studies equilibrium asset pricing with liquidity risk — the risk arising from unpredictable changes in liquidity over time. It is shown that a security's required return depends on its expected illiquidity and on the covariances of its own return and illiquidity with market return and market illiquidity. This gives rise to a liquidity-adjusted(More)
We develop a model of stock prices in which there are both differences of opinion among investors as well as short-sales constraints. The key insight that emerges is that breadth of ownership is a valuation indicator. When breadth is low i.e., when few investors have long positions in the stock this signals that the short-sales constraint is binding(More)
We investigate the effect of scale on performance in the active money management industry. We first document that fund returns, both before and after fees and expenses, decline with lagged fund size, even after accounting for various performance benchmarks. We then explore a number of potential explanations for this relationship. This association is most(More)
nance Conference at Quebec City for helpful comments. We are grateful to Ken French for making his data available. Abstract The CAPM can account for the spread in the average returns of portfolios sorted by book-to-market ratios over the long-run from 1926-2001. In contrast, other studies document strong evidence of a book-to-market effect using post-1963(More)
The extended anterior subcranial approach differs significantly from more traditional surgical approaches to the skull base in that it allows a broad inferior access to the anterior skull base planes with tumor exposure from below rather than via the transfrontal route. The authors initially used the subcranial approach in 1978 for the treatment of(More)
We describe 78 patients with fronto-orbital and sphenoethmoidal tumors surgically treated with the subcranial approach. This approach was developed by us in 1978 primarily for the treatment of skull-base trauma and craniofacial anomalies. Since 1980, we have extended the indications to include tumor resections. This extended anterior exposure of the(More)
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have experienced: 1) an increase in trading volume relative to trend over the(More)
OBJECTIVES/HYPOTHESIS To evaluate percent maximum as an intraoperative facial nerve measurement for the long-term prognostication of vestibular schwannoma surgery. STUDY DESIGN Prospective cohort study. METHODS Evoked amplitude responses to varying levels of stimulus intensity at the nerve root were compared to their supramaximal responses (Mmax) as a(More)
OBJECTIVE To present the results of a survey administered to a group of early-deafened cochlear implants adults and to report the level of perceived benefit. DESIGN Prospective. SETTING Large tertiary referral centre. METHOD A 47-item questionnaire designed to evaluate cochlear implant use and benefit was sent to 42 early-deafened adult cochlear(More)