Zhenzhen Huang, Pengyu Wei, and Chengguo Weng ♦ This paper studies portfolio combination for mitigating estimation risk in the first two moments of asset returns under a constrained framework. We develop a combined three-fund portfolio and derive optimal combination coefficients…
Ranadeb Chaudhuri, Zoran Ivkovich, and Andrei Simonov ♦ This paper studies the relation between individuals’ equity investment and birth order. Earlier-born siblings are more likely to participate in equity markets than later-born siblings are. Participating earlier-born siblings carry less portfolio…
N Aaron Pancost and Garrett Schaller ♦ Instrumental variable (IV) estimates are typically much larger than their ordinary least squares (OLS) counterparts, often suggesting implausible values of the omitted variable bias. We derive a meta-regression of OLS on IV estimates…
Harry DeAngelo and Jonathan M. Karpoff ♦ Despite cosmetic similarities, the Modigliani-Miller and Coase Theorems provide conceptually distinct insights for analysis of corporate financial policy and governance that are driven by different economic considerations, with neither theorem a special case of…
Michele Fioretti, Victor Saint-Jean, and Simon C. Smith ♦ This paper studies how the timing of NGO activism shapes its effectiveness in influencing corporate behavior. Using data on 2,350 campaigns targeting U.S. firms, we show that campaigns timed at annual…
Andrea Gamba and Alessio Saretto ♦ We show that a structural model incorporating firms’ real options and financial leverage decisions can generate forward-looking equity distributions of various shapes, resulting in highly flexible implied volatility surfaces. In contrast, exogenously specified models…
