This paper examines the information aggregation role of options when agents possess diverse information about possible asset returns. We construct two identical experimental markets: one with and one without options. We find that options speed the information aggregation process. Asset markets...

This paper tests two hypotheses derived from the Datar et al. (1991) theoretical model of auditor choice by companies newly listing on the stock exchange. The results offer support to their predictions of the demand for auditor quality. In particular, higher-risk companies are associated with...

This study analyzes estimators used in information transfer research. It concludes that tests which use the announcing firm's abnormal return to proxy for the information signal generally overstate the significance of information transfer due to cross-covariation of regression disturbances....

We develop a model of convertible debt financing that combines issue and call decisions into a common framework. The model suggests a role for refinancing costs in a manager's efforts to signal firm productivity to investors by an appropriate choice of debt issue terms. A cross section of...

This paper examines issues pertinent to using number of transactions in event-type studies of market trading response. It presents rejection frequencies for portfolios of 20, 50, and 100 observations corresponding to different abnormal trading measures and test approaches. Findings include: (1)...

We develop a model of convertible debt financing that combines issue and call decisions into a common framework. The model suggests a role for refinancing costs in a manager's efforts to signal firm productivity to investors by an appropriate choice of debt issue terms. A cross section of...

This study examines the inferential bias due to the failure to control for self-selection when studying the market's reaction to management earnings forecasts. The analysis is conducted by controlling for self-selection and comparing the results to those obtained when self-selection is not...

Empirical evidence by Eun and Resnick (1988), among others, has demonstrated the significance of exchange rate risk in the international asset allocation and they have noted that the risk is nondiversifiable. Yet, exchange rate risk was found by Jorion (1991) to be a risk factor that is not...

Using the put-call parity, this paper finds that early exercise premia of short-lived American put options on stocks account for a significant portion of put prices. This finding holds even for out-of-the-money put options. The magnitude of the early exercise premia of American put options with...