This paper utilizes standard cumulative residual analysis to study the response of stock prices
to completely unanticipated events—fatal commercial airline crashes. Results indicate that …

ON MARCH 28, 1979, one of the two nuclear reactors operated by General Public Utilities (GPU)
at its Three Mile Island (TMI) power generating plant failed. The ensuing public uproar …

We show that fund‐specific return skewness is associated with managerial skill and future
hedge fund performance. Specifically, skewness in fund returns reflects managerial skill in …

If option implied volatility is an unbiased, efficient forecast of future return volatility in the
underlying asset, then we should be able to predict its path around macroeconomic …

This paper develops a model which explains how mortgage‐rate movements, transactions
costs, changes in borrower income and house value, personal financial opportunities and the …

Previous research has analyzed the problem faced by borrowers who must choose
between fixed rate and variable rate loans when each loan carries different cost and risk …

The Taxpayer Relief Act of 1997 (TRA97) replaced a one‐time, post‐age‐55 capital gain
exclusion with a larger gain exclusion amount that could be protected every two years without …

Internal Revenue Code provisions affect trading strategies for long‐term, fixed‐payment
securities when investment income is subject to taxation and can create tax‐timing options of …

The amount and timing of unscheduled principal amortization determines the ex‐post yield
to holders of mortgage‐backed securities. In this paper, the relationship between pool …

For this article, daily changes in pure discount yields on US risk-free securities were fit to a
theoretically robust term-structure model to derive a set of orthogonal factors measuring the …