This paper empirically examines the performance of Black-Scholes and Garch-M call option pricing models using call options data for British Pounds, Swiss Francs and Japanese Yen. The daily exchange rates exhibit an overwhelming presence of volatility clustering, suggesting that a richer model...

We conduct a comprehensive simulation study to evaluate testing procedures for long horizon event studies. The simulation results raise the following concerns about some popular practices: (1) using the four-factor model that includes the Fama-French three factors and a momentum-related factor...

The Journal of Finance has published an important paper entitled "A Simple Econometric Approach for Utility-Based Asset Pricing Model" by Brown and Gibbon (1985). The main purpose of this paper is to extend the research of Brown and Gibbons (1985) and Karson, Cheng and Lee (1995) in estimating...

This study examines the positive Monday returns detected in the stock market during the 1988--1998 period and finds that (a) the positive Monday returns are concentrated in the first and the third weeks of the month, and (b) they are related to the increasing trading activities of institutional...

We evaluate the stock return performance of a modified version of the book-to-market strategy and its implications for market efficiency. If the previously documented superior stock return of the book-to-market strategy represents mispricing, its performance should be improved by excluding...

This paper examines the joint impact of capital requirements and managerial incentive compensation on bank charter value and bank risk. Most of the previous literature in the area of banking and agency theory has focused on asymmetric information between either banks and regulators, (and...

This paper investigates criticisms that U.S. GAAP had given firms too much discretion in determining the amount and timing of goodwill write-offs. Using 1,576 U.S. and 563 U.K. acquisitions, we find little evidence that U.S. firms managed the amount of goodwill write-off or that U.K. firms...

In the presence of transaction cost, the ‘perfect’ timing strategy which holds stocks in a period with positive excess return and holds cash in a period with negative excess return is not necessarily perfect. Using the optimal growth criterion, this paper derives the truly perfect timing...

This paper examines the relation between bid-ask spreads, measured both as effective and specialist-posted spreads, and institutional ownership. For the overall sample, spreads are negatively related to institutional ownership share. The paper suggests that this effect may be due to some...

Earnings manipulation has become a widespread practice for US corporations. However, most studies in the literature focus on whether certain incentives would facilitate managers to manipulate earnings and there has been little evidence documenting the consequences of earnings manipulation. This...