I use the stochastic econometric cost frontier approach to investigate efficiency of banks operating in the Third Federal Reserve District, which comprises the eastern two-thirds of Pennsylvania, the southern half of New Jersey, and Delaware. The results indicate that, in general, banks in the...

This paper shows that the effects of bid-ask spreads and price discreteness on observed stock returns are related to stock price level, properties of the bid-ask spread and the nature of the rounding process. Using a mole similar to Harris (1990), we derive robust Taylor series approximations...

If returns on some stocks systematically lead or lag those of others, a portfolio strat-egy that sells "winners" and buys "losers" can produce positive expected returns, even if no stock's returns are negatively autocorrelated as virtually all models of overre-action imply. Using a particular...