The quality of corporate governance has been shown to have wide-ranging implications, e.g., on the performance of stock markets and on exchange rates. This study investigates whether the quality of corporate governance in a country impacts investment decisions made at the micro level of the...

Prior studies of the relevance of long-term capital gains for stock prices rely on the evidence from the 1997 tax cut in the U.S. The key component of the tax-sensitive ownership in these studies is individual ownership; its average is reported to be as high as 66.7%. The sharp increase in...

The quality of corporate governance has been shown to have wide-ranging implications, e.g., on the performance of stock markets and on exchange rates. This study investigates whether the quality of corporate governance in a country impacts investment decisions made at the micro level of the...

This study investigates the ability of three versions of Altman's Z-Score model (Z, Z', and Z”) of distress prediction developed in the U.S. to predict the corporate distress in the emerging market of Sri Lanka. The results show that these models have a remarkable degree of accuracy in...

This study develops and estimates the level of profitability and pessimism/optimism in the stock markets of the Russian Federation, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania and Slovenia and compares them with the U.S. market. The risk premium associated with the...

The portfolio performance evaluation involves the determination of how a managed portfolio has performed relative to some comparison benchmark. Performance evaluation methods generally fall into two categories, namely conventional and risk-adjusted methods. The most widely used conventional...

This study examines the ability of interest rates, as measured by Treasury bill yields, to track expected monthly, quarterly and annual returns in the Sri Lankan stock market during the 1990-97 period. Different from the findings in most prior studies on foreign markets, the results indicate a...

This study analyzes price behavior of stocks listed in the Colombo Stock Exchange (CSE) in Sri Lanka using daily closing prices of two indices, the All Share Price Index and the Sensitive Price Index, over the period January 1985 through December 1995. Results documented in the current study...

Prior research has documented anomalous profits as high as 9% from participating in stock repurchase tender offers. The trading strategy is to buy shares in the market just before offer expiration and tender; it involves a trading horizon of just a few days. The large profits given a short...

The law of one price relies on enforcement by arbitragers who are expected to eliminate price differentials quickly. Arbitragers’ activities are constrained by liquidity of markets. However, large price differentials attract arbitrage activity enhancing the liquidity of markets. Using daily...