Abstract We consider mean-variance portfolio choice of a robust investor. The investor receives advice from J experts, each with a different prior for expected returns and risk, and follows a min-max portfolio strategy. The robust investor endogenously combines the experts' estimates. When experts agree on the main return generating factors, the investor relies on the advice of the expert with the strongest prior. Dispersed advice leads to averaging of the alternative estimates. The robust investor is likely to outperform alternative strategies. The theoretical analysis is supported by numerical simulations for the 25 Fama-French portfolios and for 81 European country and value portfolios.

[I use uniquely comprehensive data on financial news events to test four predictions from an asymmetric information model of a firm's stock price. Certain investors trade on information before it becomes public; then, public news levels the playing field for other investors, increasing their willingness to accommodate a persistent liquidity shock. Empirically, I measure public information using firms' stock returns on news days in the Dow Jones archive. I find four patterns in postnews returns and trading volume that are consistent with the asymmetric information model's predictions. Some evidence is, moreover, inconsistent with alternative theories in which traders interpret news differently for rational or behavioral reasons.]

I use uniquely comprehensive data on financial news events to test four predictions from an asymmetric information model of a firm's stock price. Certain investors trade on information before it becomes public; then, public news levels the playing field for other investors, increasing their willingness to accommodate a persistent liquidity shock. Empirically, I measure public information using firms' stock returns on news days in the Dow Jones archive. I find four patterns in postnews returns and trading volume that are consistent with the asymmetric information model's predictions. Some evidence is, moreover, inconsistent with alternative theories in which traders interpret news differently for rational or behavioral reasons.

We analyse the role of house prices in the monetary policy transmission mechanism in Norway, Sweden and the UK, using structural VARs. A solution is proposed to the endogeneity problem of identifying shocks to interest rates and house prices by using a combination of short-run and long-run (neutrality) restrictions. By allowing the interest rate and house prices to react simultaneously to news, we find the role of house prices in the monetary transmission mechanism to increase considerably. In particular, house prices react immediately and strongly to a monetary policy shock. Furthermore, the fall in house prices enhances the negative response in output and consumer price inflation that has traditionally been found in the conventional literature. Moreover, we find that the interest rate responds systematically to a change in house prices. However, the strength and timing of response varies between the countries, suggesting that housing may play a different role in the monetary policy setting.

ABSTRACT I investigate how the use and voluntary disclosure of synthetic leases is affected by incentives to defer cash outflows and manage the financial statements by keeping debt off the balance sheet. I find that managers of cash‐constrained firms with incentives to defer cash payments are more likely to finance asset purchases with synthetic leases. The mandated reporting for synthetic leases allows managers to avoid disclosing the financial consequences of these transactions. Managers of firms with incentives to use off‐balance‐sheet financing do not provide transparent disclosure about their synthetic leases. However, managers of cash‐constrained firms, which are less likely to use synthetic leases for financial reporting reasons, do voluntarily disclose the existence and financial consequences of these contracts. Alternative tests around FIN 46 adoption corroborate these findings.

[We examine how residents of the United States allocate their stock portfolios internationally. We find that a large U.S. Foreign Direct Investment (FDI) position in a destination country in 1990 is associated with a relatively large stock portfolio position in that country in the 2001-2006 period. Moreover, a change in the U.S. FDI position from 1980 to 1990 helps predict the change in the U.S. Foreign Portfolio Investment position from 1994 to 2006. These results are rationalized by Van Nieuwerburgh and Veldkamp's (2009) equilibrium model of learning and portfolio choice under an information processing constraint. FDI establishes marginal differences in the endowments of information about different countries, which later translate into differences in stock portfolio holdings. We control for cross-country differences in capital controls, proximity along different dimensions, corporate governance, and economic and capital market development. Our results also hold for the G6 countries collectively.]

Panel data on corporate ownership in thirty-four countries between 1995 and 2006 reveal that newly public firms have concentrated ownership regardless of the level of investor protection. After listing, firms in countries with strong investor protection are more likely to experience decreases in ownership concentration; these decreases occur in response to growth opportunities, and they are associated with new share issuance. We conclude that ownership concentration falls after listing in countries with strong investor protection, because firms in these countries continue to raise capital and grow, diluting blockholders as a consequence.

[Panel data on corporate ownership in thirty-four countries between 1995 and 2006 reveal that newly public firms have concentrated ownership regardless of the level of investor protection. After listing, firms in countries with strong investor protection are more likely to experience decreases in ownership concentration; these decreases occur in response to growth opportunities, and they are associated with new share issuance. We conclude that ownership concentration falls after listing in countries with strong investor protection, because firms in these countries continue to raise capital and grow, diluting blockholders as a consequence.]

Productive public good investment allocations, and group discriminatory redistributions are conflicting resource use options between which every government must choose irrespective of its political make up. This paper is the first to derive an incisive explanation of how governments combine political and economic calculation to balance these competing choices. Realistic societies can be analyzed as a mixture of two polar cases — idealized, utopian, consensual democracy and perfect autocracy. Thus, in making the choice between social investment and redistributive taxation every government behaves somewhat like an pure democracy and somewhat like a selfish dictatorship.