We examine the behavior of measured variances from the options market and the underlying stock market. Under the joint hypotheses that markets are informationally efficient and that option prices are explained by a particular asset pricing model, forecasts from time-series models of the...

The authors report results from experimental asset markets with liquidity traders and an insider where they allow bilateral trade to take place, in addition to public trade with dealers. In the absence of the search alternative, dealer profits are large--unlike in models with risk-neutral,...

This paper examines the turn-of-the-year effect, the firm size effect, and the relation between these two effects for a sample of over-the-counter stocks traded via the NASDAQ reporting system over the period 1973-85. The authors find results similar to those based solely on listed stocks. The...

This paper provides empirical support for the notion that autoregressive conditional heteroskedasticity in daily stock return data reflects time dependence in the process generating information flow to the market. Daily trading volume, used as a proxy for information arrival time, is shown to...

In this paper, a model of market reaction to stock splits is presented and tested. The auth ors argue that the announcement of a split sets off the following cha in of events: the market recognizes that subsequent to the (reverse) split ex-day, the daily number of transactions along with the raw...

Purpose The purpose of this paper is to show that multivariate t -distribution assumption provides a better description of stock return data than multivariate normality assumption. Design/methodology/approach The EM algorithm is applied to solve the statistical estimation problem almost...