We use institutional trading data to examine whether skilled institutions exploit positive abnormal ex-dividend returns. Results show that institutions concentrate trading around certain ex-dates, and earn higher profits around these events. Dividend capture trades represent 6% of all...

Prior literature examines the effect of either informed or arbitrage short selling on equity markets. We test the relative importance of informed and uninformed short selling around convertible bond issues and earnings announcements for the same firms over the same time period. Convertible...

We compare changes in information flow and liquidity around anticipated and unanticipated dividend announcements. When the timing of the news announcement can be anticipated in advance, traditional market microstructure models predict that liquidity will deteriorate before the announcement and...

We study restructuring by firms whose stock prices experience a sharp decline to a low price level– fallen angels. In response to a price decline, firms can retrench by reducing investments and cutting the workforce, or increase leverage and investments hoping for lottery-like payoffs. We find...

More companies are disclosing free cash flow in their earnings announcements. Companies choose a range of definitions for disclosed free cash flow, none of which correspond to the theoretical definition. The most common definition (in 38% of free cash flow disclosures) is operating cash flow...

This paper uses daily short selling data to examine whether short selling around seasoned equity offerings (SEOs) reflects informed or manipulative trading strategies. We find no evidence of informed short selling around SEO announcements. Around issue dates, higher levels of pre-issue short...

Prior research documents no significant abnormal returns around upgrades of credit ratings, suggesting that upgrades do not convey new information. These tests are limited by lack of data, liquidity screens, and ambiguous predictions. We extend prior research using trading volume. Because volume...

This paper demonstrates that the cross-sectional variation of systematic risk and systematic liquidity have increased over the period 1963-2008. Both have increased signi ficantly for large-cap firms, but declined signifi cantly for small-cap fi rms. Several implications for investment managers...