We examine the methods commonly employed to estimate Tobin's q ratios and find them to
be flawed in design and arbitrary in implementation. We propose an alternative procedure …

We present an economic mechanism and supportive empirical evidence for the transmission
of information between equity securities first documented by Lo and MacKinlay (1990) . It is …

This research analyzes the investment behavior of institutional portfolio managers within the
context of their fiduciary responsibility arising from handling client capital. The perspective is …

We document the equity trading practices of approximately 1,200 institutions from the third
quarter of 1987 through the third quarter of 1995. We decompose trading by institutions into …

This article is an exploratory investigation of the distributional properties of market index
returns using Tukey's g and h distributions (Tukey 1977; Hoaglin 1983). Specifically, it is shown …

Tax‐loss selling by investors in common stocks near the end of calendar years has been
proposed as an explanation for the turn‐of‐the‐year effect in stock returns. Past analyses of this …

As corporate concern regarding environmental issues grows, recent studies have debated
the stock market's role as an enforcer of environmental regulation. We examine stock market …

This article investigates the stock market portfolios of insurance company portfolio
managers and compares the characteristics of their equity holdings with those of other (noninsurance) …

Monitoring of hormone replacement therapy represents a major challenge in the
management of congenital adrenal hyperplasia (CAH). In the absence of clear guidance and …

This article explores the nature of skewness and elongation in daily common-stock-return
distributions of individual firms using estimates of g (for skewness) and h (for elongation) …