I propose a new measure of common, time-varying tail risk for large cross sections of stock returns. Stock return tails are described by a power law in which the power law exponent is allowed to transition smoothly through time as a function of recent data. It is motivated by asset pricing theory and is estimable via quasi-maximum likelihood. Estimates indicate substantial time variation in sto...

We study 6,686 IPOs spanning the period 1981-2005 and find that the new issues puzzle disappears in a Fama-French three-factor framework. IPOs do not underperform in the aftermarket on a risk-adjusted basis and do not underperform a matched sample of non-issuers. IPO underperformance is concentrated in the 1980’s and early 1990’s, and IPO’s either perform the same as the market, or outperform o...

We show that a one-sector real business cycle model with mild increasing returns-toscale and variable capital utilization is able to produce qualitatively realistic business cycles driven solely by aggregate demand shocks. In particular, a positive government spending shock can lead to simultaneous increases in output, consumption, investment, employment, labor productivity and the real wage. O...

A certain prima facie implausible idea about the semantics of donkey pronouns has found a surprising number of adherents (Davies 1981, Lappin 1989, Neale 1990, Lappin and Francez 1994, Yoon 1994, 1996, Krifka 1996a) and even crept into a textbook (Larson and Segal 1995).1 According to this idea, syntactically singular donkey pronouns like it in (1) are semantically numberless, so that (2) provi...

Enrico Fermi had to cajole his friend Ettore Majorana into publishing his big idea: a modification of the Dirac equation that would have profound ramifications for particle physics. Shortly afterwards, in 1938, Majorana mysteriously disappeared, and for 70 years his modified equation remained a rather obscure footnote in theoretical physics (Box 1). Now suddenly, it seems, Majorana’s concept is...

The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies ...

In real investment, there is a relationship between external financing and abnormal stock returns. This study predicts a negative correlation between external financing and stock returns. The dependent variable of the research is stock returns and the independent variables are net financing and equity ratio. Also, control variables of the research includes assets growth, company’s size and comp...

The low level of volatility observed in appraisal-based commercial property indices relative to other asset classes has been frequently noted and extensively commented on in the Real Estate finance literature. However, the volatility of such commercial property indices is only one source of information on the second moment of commercial property returns. The volatility of securitised property r...