This paper tests two competing hypotheses concerning the relationship between adverse selection costs on NASDAQ versus specialist-dominated exchanges. We reject the hypothesis that specialist-dominated exchanges have smaller adverse selection costs than exchanges with multiple market makers. We...

This paper provides a Bayesian test of parameter non stationarity and an estimation procedure for the detection of change points in the time series of stock returns. The empirical results indicate that this procedure can identify the change points in the data without prior knowledge and provide...

Portfolio insurance strategies can destabilize markets to such an extent that they may be counterproductive. Destabilization results when hedgers take share prices as given and follow exogenously specified price-based trading rules. We recognize that such trading rules may not be utility...

In this article, we propose a model that incorporates the preferences of multiple decision makers into a decision-making process using (1) The analytical hierarchy process (AHP); and (2) multiple criteria and multiple constraint levels (MC "squared") linear programming in a capital budgeting...

This study investigates the effect of sample size and population distribution on the bootstrap estimated sampling distributions for stochastic dominance (SD) test statistics. Bootstrap critical values for Whitmore's (1978) second- and third-degree stochastic dominance test statistics are found...

This article shows that lawsuit avoidance motivation can lead entrepreneurs to overprice, as well as underprice, initial public offerings of equity. The article simplifies the lawsuit avoidance argument by addressing the entrepreneur's acceptable probability of lawsuit predicated on the loss of...

This article explores arbitrage risk and models a testable hypothesis for studies in the treasury bill futures market efficiency. The modern mean-variance theory applied to a hedged arbitrage portfolio is used for the analysis. For a given expected arbitrage profit, we derive minimum variance...

This article extends previous bond valuation models to account for more realistic assumptions regarding financial distress. Realized value of an individual bond under severe financial distress will reflect the expected outcome of credit-event negotiations and the relative priority listing of the...