Beginning with Banz (1981), I review 30years of research on the size effect in equity returns.
Since Fama and French (1992), there has been a vigorous, ongoing debate on whether the …

The efficient-market hypothesis (EMH) is one of the most important economic and financial
hypotheses that have been tested over the past century. Due to many abnormal phenomena …

We find that institutional ownership concentration is positively related to the pay‐for‐
performance sensitivity of executive compensation and negatively related to the level of …

Within a cost–benefit framework, we hypothesize that independent institutions with long-term
investments will specialize in monitoring and influencing efforts rather than trading. Other …

We document strong positive correlation between changes in institutional ownership and
returns measured over the same period. The result suggests that either institutional investors …

The effective cost of trading is usually estimated from transaction‐level data. This study
proposes a Gibbs estimate that is based on daily closing prices. In a validation sample, the …

We investigate whether institutional investors “vote with their feet” when dissatisfied with a
firm's management by examining changes in equity ownership around forced CEO turnover …

We report evidence on chief executive officer (CEO) turnover during the 1971 to 1994
period. We find that the nature of CEO turnover activity has changed over time. The …

We link investor heterogeneity to the persistence of the overnight and intraday components
of returns. We document strong overnight and intraday firm-level return continuation along …

Although evidence suggests that institutional investors play a role in monitoring
management, not all institutions are equally willing or able to serve this function. We present …