BibSonomy publications for /user/deepgorgeFri Jul 21 21:05:53 CEST 20061 February13-56Common risk factors in the returns on stocks and bonds331993imported This paper identifies five common risk factors in the returns on stocks and bonds. There are three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity. There are two bond-market factors, related to maturity and default risks. Stock returns have shared variation due to the stock-market factors, and they are linked to bond returns through shared variation in the bond-market factors. Except for low-grade corporates, the bond-market factors capture the common variation in bond returns. Most important, the five factors seem to explain average returns on stocks and bonds.Fri Jul 21 21:05:53 CEST 2006November123-49Business Conditions and Expected Returns on Stocks and Bonds251989imported Fri Jul 21 21:05:53 CEST 2006October13-25Dividend Yields and Expected Stock Returns221988imported Fri Jul 21 21:05:53 CEST 20061 September3283-306Market Efficiency, Long-term Returns, and Behavioral Finance491998imported Market efficiency survives the challenge from the literature on long-term return anomalies. Consistent with the market efficiency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market efficiency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique.Fri Jul 21 21:05:53 CEST 2006509-528The Information in the Term Structure131984imported Fri Jul 21 20:00:04 CEST 20061 June3293-340The Motivation and Impact of Pension Fund Activism521999imported Pension funds have pursued an active role in corporate governance, although some question their effectiveness and motivations. We examine the impact and motivation of pension fund activism by studying the shareholder proposals of the largest, most active funds from 1987 through 1993. We find significant heterogeneity across funds in activism objectives, tactics, and impact on target firms, consistent with differing investment strategies. We find the funds are more successful at monitoring and promoting change in target firms than previously recognized. We also find no evidence to support motivations other than fund value maximization.Fri Jul 21 20:00:04 CEST 20061 January13-27Returns to Contrarian Investment Strategies: Tests of Naive Expectations Hypotheses431997imported This paper examines the ability of naive investor expectations models to explain the higher returns to contrarian investment strategies. Contrary to Lakonishok, Shleifer, and Vishny (1994), we find no systematic evidence that stock prices reflect naive extrapolation of past trends in earnings and sales growth. Building on Bauman and Dowen (1988) and La Porta (1995), however, we find that stock prices appear to naively reflect analysts' biased forecasts of future earnings growth. Further, we find that naive reliance on analysts' forecasts of future earnings growth can explain over half of the higher returns to contrarian investment strategies.Fri Jul 21 20:00:04 CEST 2006January169-189Testing for Market Timing Ability: A Framework for Forecast Evaluation191987imported In this paper, we examine the Henriksson-Merton test of market timing and its potential usefulness in evaluating investment advice. The paper proposes a natural extension of the test that is valid under more general assumptions about the distribution of asset returns. We show that the Henriksson-Merton test and its more general counterpart are special cases of standard tests of market rationality and efficiency. Both tests are applied to a group of foreign exchange advisory.Thu Jul 20 12:25:05 CEST 2006EconometricaMay4817-838A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity481980imported Thu Jul 20 12:25:05 CEST 2006Econometrica331-360Informational Equilibrium421979imported Thu Jul 20 12:25:05 CEST 2006Econometrica741-751Spurious Periodicity in Inappropriately Detrended Time Series1981imported Thu Jul 20 12:25:05 CEST 2006Econometrica1089-1122A Theory of Auctions and Competitive Bidding501982imported Thu Jul 20 12:25:05 CEST 2006EconometricaSeptember5867-887An Intertemporal Capital Asset Pricing Model411973imported Thu Jul 20 12:25:05 CEST 2006Econometrica1473-1518Optimal Auctions with Risk Averse Buyers521984imported Thu Jul 20 12:25:05 CEST 2006Econometrica61439-1467Asset pricing in Economies with Frictions641996imported Thu Jul 20 12:25:05 CEST 2006EconometricaNovember61429-1445Asset Prices in an Exchange Economy461978imported This paper is a theoretical examination of the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers. A general method of constructing equilibrium prices is developed and applied to a series of examples.Thu Jul 20 12:25:05 CEST 2006Econometrica1315-1335Continuous Auctions and Insider Trading531985imported Thu Jul 20 12:25:05 CEST 2006Econometrica863-894Sequential Equilibria501982imported Thu Jul 20 12:25:05 CEST 2006Econometrica1371-1395Estimating Vector Autoregression with Panel Data561988imported Thu Jul 20 12:25:05 CEST 2006Econometrica681-717An Empirical Investigation of Asset Pricing with Temporally Dependent Preference Specifications631995imported