Conditioning variables and the cross section of stock returns

Article Abstract:

Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross-sectional explanatory power for stock portfolio returns. The loadings are significant given the three factors advocated by Fama and French (1993) and the four factors of Elton, Gruber, and Blake (1995). The explanatory power of the loadings on lagged variables is robust to various portfolio grouping procedures and other considerations. The results carry implications for risk analysis, performance measurement, cost-of-capital calculations, and other applications. (Reprinted by permission of the publisher.)

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Liquidity Provision and Noise Trading: Evidence from the "Investment Dartboard" Column

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The author the examines effects of noise trading on the efficient market theory. Topics include market-microstructure, identifying noise trading, and response to investment advice.

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Taking stock: equity-based compensation and the evolution of managerial ownership

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The authors examines stock compensation to managers and executives. Topics include managerially ownership, stock options, and modern portfolios.

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