Purpose: This paper examines the extent to which noise demand and limits of arbitrage affect the pricing of acquirer stocks both at the announcement period and over the longer horizon. Design/methodology/approach: An event study approach was adopted to measure announcement-period cumulative...

Purpose The purpose of this paper is to explore trading strategies that exploit investors’ anchoring bias. Design/methodology/approach This paper forms portfolios based on nearness ratio and other anomaly variables under one- and two-way sorts. The portfolio return series are then regressed on...

Implied volatility is widely believed to be informationally superior to historical volatility, because it is the "markets" forecast of future volatility. But for S&P 100 index options, the most actively traded contract in the United States, we find implied volatility. In aggregate and across...