• Publications
  • Influence
Short Sale Constraints, Differences of Opinion, and Overvaluation
Miller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesisExpand
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Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983-1991
The authors examine debenture yields over the period 1983-91 to evaluate the market's sensitivity to bank-specific risks and conclude that investors have rationally reflected changes in theExpand
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Why Do Option Introductions Depress Stock Prices? A Study of Diminishing Short-Sale Constraints
Early studies find that option introductions tend to raise the price of underlying stocks. More recent research indicates that post-1980 option introductions are associated with negative abnormalExpand
  • 305
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The Long‐run Performance Following Dividend Initiations and Resumptions: Underreaction or Product of Chance?
We examine the long-term stock performance following dividend initiations and resumptions from 1927 to 1998. We show that postannouncement abnormal returns are significantly positive for equallyExpand
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The Effect of Options on Stock Prices: 1973 to 1995
I show that the effect of option introductions on underlying stock prices is best described by a two-regime switching means model whose optimal switch date occurs in 1981. In accordance with previousExpand
  • 145
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Smart Money, Dumb Money, and Capital Market Anomalies
We investigate the dual notions that “dumb money” exacerbates well-known stock return anomalies and “smart money” attenuates these anomalies. We find that aggregate flows to mutual funds (dumb money)Expand
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A Reexamination of Corporate Governance and Equity Prices
We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the population ofExpand
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Idiosyncratic Risk and the Cross-Section of Stock Returns: Merton (1987) Meets Miller (1977)
Merton [1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance 42, 483-510] predicts that idiosyncratic risk should be priced when investors holdExpand
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  • PDF
The Cross-Section of Analyst Recommendations
We analyze the relation between analyst attributes (years of experience, reputation of the analysts’ brokerage houses) and the short- and long-term price reactions to recommendations made by theExpand
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  • PDF
Why Do Option Introductions Depress Stock Prices? An Empirical Study of Diminishing Short-Sale Constraints
Early studies find that option introductions tend to raise the price of underlying stocks. More recent research indicates post-1980 option introductions are associated with negative abnormal returnsExpand
  • 44
  • 4