Journal of Financial Economics
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The term structure of credit spreads, firm fundamentals, and expected stock returns.
Capital structure effects on the prices of equity call options.
Smart money, dumb money, and capital market anomalies.
Sell-order liquidity and the cross-section of expected stock returns.
Recent trends in trading activity and market quality.
O/S: The relative trading activity in options and stock.
Options trading activity and firm valuation.
Rights offerings, takeup, renounceability, and underwriting status.
Liquidity and market efficiency☆.
Feedback and the success of irrational investors☆.
Evidence on the speed of convergence to market efficiency.
Order imbalance and individual stock returns: Theory and evidence.
Order imbalance, liquidity, and market returns.
Trading activity and expected stock returns.
Commonality in liquidity.
Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1.
Market microstructure and asset pricing: On the compensation for illiquidity in stock returns.
Investment analysis and price formation in securities markets.
Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market
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