REVENUE SURPRISE AND EQUITY RETURNS IN BORSA ISTANBUL

Distribution Risk and Equity Returns∗

In this paper we entertain the hypothesis that observed variations in income shares are the result of changes in the balance of power between workers and capital owners in labor relations. We show that this view implies that income share variations represent a risk factor of first-order importance for the owners of capital and, consequently, are a crucial determinant of the return to equity. Wh...

Investment Taxes and Equity Returns

This paper investigates whether investors are compensated for the tax burden of equity securities. Effective tax rates on equity securities vary over time due to frequent tax reforms and cross-sectionally due to persistent differences in propensities to pay dividends. The paper finds an economically and statistically significant relationship between risk-adjusted stock returns and effective per...

Equity, Efficiency and Increasing Returns

“Surprise” in Distress Announcements: Evidence from Equity and Bond Markets∗

Some modified structural and reduced-form models of credit risk implicitly assume that the market has less information than managers who declare default on their outstanding debt. As a result the announcement of default or disclosure of information that indicates a firm is in distress comes as a “surprise” to the market. In this paper, we study the extent to which private information is reveale...

Private Equity Returns: Persistence and Capital Flows

This paper investigates individual fund returns in the private equity industry using a unique data set collected by Venture Economics. We find a large degree of heterogeneity among fund returns. Those returns persist strongly across funds by private equity firms. The returns also improve with firm experience. Better performing funds are more likely to raise follow-on funds and raise larger fund...