The post‐split increase in daily returns volatility is less for AMEX stocks than for NYSE stocks.
The exchange trading location is a significant factor in explaining the volatility shift even …

Several authors have previously determined that abnormal returns exist on ex-cash dividend
days and ex-stock dividend days. In other words, stocks do not, on average, fall by the …

Two measures are used to estimate the liquidity of stocks that switch their places of trading (from
OTC to NYSE, from OTC to AMEX, and from AMEX to NYSE). Using an event‐type …

Investors can exploit the correlations between international stock markets by trading no‐load,
open‐end, international mutual funds. These investors in effect cheat passive investors …

Firm announcements of adoption of the multidivisional (M‐form) structure are evaluated using
stock market data and event methodology. Results indicate that investors positively value …

Returns to bidders are examined for 108 bank acquisitions over the 1981–1987 period. These
returns provide evidence on the conflict-of-interest hypothesis and the hubris hypothesis, …

I estimate the extent to which mutual fund portfolio trading of securities is triggered by investor
flows into and out of the funds, and find that this liquidity-induced portfolio trading activity is …

This paper examines the determinants of intraday violations of put‐call parity of S&P 100
Index options. In particular, tobit regression analysis is used to explain the fraction of daily …

We test whether the well-documented market reaction to the announcements of earnings
surprises is a manifestation of an investor underreaction or overreaction to extremely good or …

Mutual funds claim that they employ fair value pricing to prevent active investors from trading
on their beliefs that the funds’ net asset values are stale. Our results support the funds’ …