We test the Kraus-Litzenberger three-moment capital asset pricing model (CAPM) and the Fama-French (FF) three-factor (FF) model with the C-test proposed by Davidson and MacKinnon. We are unable to reject the null hypothesis that expected returns are described by either of the models in...

The present study empirically examines the contribution of the acquired banks in only the nonconglomerate types of mergers (i.e., banks with banks), where the bulk of the payment is in the form of equity to the acquiring bank and finds overwhelmingly statistically significant evidence that...

In performing an empirical analysis of stock market returns there are certain conditions under which the quadratic characteristic line (QCL) will be the appropriate return-generating process compared to the linear characteristic line (LCL). These conditions are whether the parameter associated...

Purpose: The purpose of this study is to explain the poor informativeness of earnings in dual-class firms by examining the quality of earnings and the information environment. Design/methodology/approach: The earnings informativeness, earnings quality and information environment of dual-class...