Many studies have documented portfolio strategies that provide returns in excess of those expected, given the level of risk of the portfolio. Variables that seem to have predictive power for equity returns include the market capitalization of the firm’s equity and the ratio of the firm’s book equity to market equity (BE/ME). Firms with low market capitalization and high book-tomarket values see...

An extensive literature documents heterogeneity in the delay of stock-price reaction to systematic shocks, implying that relevant asset risk depends on investment horizon. We study pricing of common risk factors across investment horizons. We …nd that liquidity risk is priced over short horizons and market risk is priced over intermediate horizons. Value/growth risk is priced over long horizons...

We examine the investment behavior of market participants within di€erent international markets (i.e., US, Hong Kong, Japan, South Korea, and Taiwan), speci®cally with regard to their tendency to exhibit herd behavior. We ®nd no evidence of herding on the part of market participants in the US and Hong Kong and partial evidence of herding in Japan. However, for South Korea and Taiwan, the two em...

Finance theory can be used to form informative prior beliefs in financial decision making. This paper approaches portfolio selection in a Bayesian framework that incorporates a prior degree of belief in an asset pricing model. Sample evidence on home bias and value and size effects is evaluated from an asset-allocation perspective. U.S. investors' belief in the domestic CAPM must be very strong...

This study demonstrates that the U.S. equity premium has declined significantly during the last three decades. The study calculates the equity premium using a variation of a formula in the classic Gordon stock valuation model. The calculation includes the bond yield, the stock dividend yield, and the expected dividend growth rate, which in this formulation can change over time. The study calcul...

This study examined relationships between self-reported rumination and sustained pupil dilation, an index of cognitive and emotional processing, in response to emotional information in depressed and never-depressed individuals. Pupil dilation was measured during tasks that required alternating emotional and non-emotional processing. Depressed individuals displayed more sustained pupil dilation ...

The relationship between plant roots and interrill soil erosion is important in dynamic soil erosion predictions. Rainstorm simulations of similar intensity (63.5 mm h-1) were conducted in the summer of 1989 on 1 by 1 m field plots of Cecil sandy loam (clayey, kaolinitic, thermic Typic Kanhapludult) to study the effect of different root length densities, L(v) (cm cm-3), of corn (Zea mays L.), d...