This paper presents a decomposition of inflation and its volatility. According to the traditional quantity theory of money, the rate of inflation is decomposed into three components: the rate of change in the money supply, plus the rate of change in the velocity of circulation, minus the rate of...

We investigate the relationship between the number of block ( or equal to 20,000 shares) trades over the trading day and across exchanges. In general, for each day of the week, the ratio increases from the first to the second period, declines through the period ending at 3:30 p.m., and increases...

We analyze a signaling game where firms' dividend announcements convey private information but the possible need to externally finance the dividend creates an incentive conflict between inside and outside investors. Consequently, the attempt to address an adverse selection problem creates (or...

This research attempts to discriminate empirically between the predictable events and resolution irrelevancy hypotheses as both pertain to abnormal stock price performance around regular and special proxy statement mailing dates and the related shareholder meeting dates. We find no evidence that...

A GARCH-stable process is tested as a model of the distribution of daily future prices. The GARCH-stable process cannot be rejected as a model of 12 of the 37 price series considered. The evidence regarding stable distributions as a model of futures prices is not as unfavorable as suggested by...

This study analyzes the weekend effect in the first half and the second half of the month and finds a weekend effect: Friday's returns are significantly greater than Monday's returns. However, the spread between Monday's and Friday's returns shifts between the first half and the second half of...

Using a continuous-time framework, Kazemi (1992) shows that changes in prices of long-term bonds could be perfectly correlated with changes in the representative investor's marginal utility of wealth. Therefore, the equilibrium expected excess return on any security would be proportional to its...

Implications of capital market segmentation for international capital structure (ICS)--capital structure consisting of equity issued in one country and debt issued in another--are examined. Necessary conditions for the emergence of ICS are analyzed under two options for debt issues (foreign debt...

This study shows how the supply and demand for auditing services is analyzed in a simultaneous equations framework. An important aspect of the analysis is the assumption that an audit is a differentiated product that is valued for its productive attributes. A hedonic (multiattribute), nonlinear...