Empirical tests of the efficient market hypothesis (EMH) have been repeated by many researchers with varying results, with several supporting it and others finding no clear evidence for it. One of the results that weakens the EMH is the study of such anomalies as the Ramadan effect. Anomaly...

A crowded trade emerges when speculators' positions are large relative to the asset's liquidity, making exit difficult. We study this problem of recent regulatory concern by focusing on short-selling. We show that days to cover (DTC), the ratio of short interest to trading volume, measures the...

We find that the degree of expected idiosyncratic skewness in seasoned equity issuers' stock returns is an important determinant of flotation costs and post-issue abnormal stock performance. High skewness issuers incur significantly greater offer price discounts, particularly when institutional...

The successful functioning of global stock index futures markets depends heavily upon the efficient execution of two essential recurring transactions: calendar spreads and stock index arbitrage. In the final weeks preceding a futures expiration calendar transactions dominate order flow in a...