We examine the timing ability of mutual fund investors using cash flow data at the individual
fund level. Over 1991–2004 equity fund investor timing decisions reduce fund investor …

While many technical trading rules are based upon patterns in asset prices, we lack
convincing explanations of how and why these patterns arise, and why trading rules based on …

This paper examines outside director compensation for a sample of 237 Fortune 500 firms
over the 1998–2004 period. We document a trend towards fixed-value equity compensation …

This study tests whether belief differences affect the cross-sectional variation of risk-neutral
skewness using data on firm-level stock options traded on the Chicago Board Options …

We study the initial returns and long-run performance of a unique sample of thrifts that have
recently converted from mutual to stock form. In addition to a full claim on all IPO proceeds, …

Actuaries manage risk, and asset price volatility is the most fundamental parameter in
models of risk management. This study utilizes recent advances in econometric theory to …

This study documents the effect of the Super Bowl on the stock returns of firms that are
geographically associated with the competing teams. We find significant upward return drift in the …

We study the relationship between stock returns and the implied volatility smile slope of call
and put options. Stocks with a steeper put slope earn lower future returns, while stocks with a …

This paper presents a simple, intuitive investment strategy that improves upon the popular
dollarcost-averaging (DCA) approach. The investment strategy, which we call enhanced dollar…

… We follow the approach of Friesen and Sapp (2007) in order to measure the cash flow timing
performance of fund investors. Specifically, we compute the geometric return for each fund …