2nd Quarter (2008)

Lisa R. Goldberg, Guy Miller and Jared Weinstein We develop a portfolio risk model that uses high-frequency data to forecast the loss surface, which is the set of loss distributions at future time horizons. Our model uses a fully automated, semi-parametric fitting procedure that has its basis in extreme value statistics. We take account of… Read more

Malcolm Baker, Johnathan Wang and Jeffrey Wurgler Broad waves of investor sentiment should have larger impacts on securities that are more difficult to value and to arbitrage. Consistent with this intuition, we find that when an index of investor sentiment takes low values, small, young, high volatility, unprofitable, non-dividend paying, extreme growth, and distressed stocks… Read more

Joseph Cerniglia and Joshua Livnat This study investigates whether stock market reactions to earnings information of firms that release their earnings close to quarter-end (Early) are systematically different from their industry peers which report later during the quarter (Late). Unexpectedly, we find that immediate market reactions to early reporters are weaker than those to late… Read more

Felix Goltz, Lionel Martellini and Koray D. Simsek The focus of this paper is to determine what fraction a myopic risk-averse investor should allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and equity risk premium. Our conclusion is that typical investors should optimally… Read more

Louis K. C. Chan, David Ikenberry, Josef Lakonishok and Sangwoo Lee Investors and the financial media apparently believe that some Wall Street equity analysts research is superior to others. We examine whether such quality differentials exist, in terms of analysts ability to forecast earnings accurately, and whether these differentials are identifiable on an ex ante… Read more