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for helpful comments, and especially to Siddhartha Chib for his advice and encouragement, and an anonymous referee for insightful suggestions that have substantially improved the article. This paper was previously circulated under the title " The Economic Value of Volatility Modeling: Asset Allocation with a High Dimensional Dynamic Latent Factor(More)
We examine the effect of industry life-cycle stages on within-industry acquisitions and capital expenditures by conglomerates and single-segment firms controlling for endogeneity of organizational form. We find greater differences in acquisitions than in capital expenditures, which are similar across organizational types. In particular, 36% of the growth(More)
Economic performance (economic profits, economic income, or underlying operating performance) of a firm is not observable. Market participants use accounting earnings and other proxies to measure the otherwise unobservable economic performance. Ball and Brown (1968) show that accounting earnings capture the economic performance to some extent. In(More)
This paper investigates the relation between stock liquidity and firm performance. We find that firms with liquid stocks have better firm performance as measured by the market-to-book ratio. This result holds even when we include industry or firm fixed effects, control for idiosyncratic risk, control for endogenous liquidity with instrumental variables, or(More)
We examine product market behavior of retailers to determine if diversified or focused firms behave as weak competitors and are perceived as such. We do so in three distinct ways. We first test pricing predictions of a simple switching cost model of market competition, that weaker firms charge higher prices in equilibrium (and sacrifice market share). Not(More)
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