Modifying the distributional assumptions of the Black-Scholes model is one way to accommodate the skewness of underlying asset returns. Simple models based on the compensated gamma and Weibull distributions of asset prices are shown to produce some improvements in option pricing. To evaluate...

We develop a method for determining the significance of the effect of a certain event (stock split, corporate restructuring, change in regulation, etc.) on unsystematic volatility of asset returns. Simulations show that the suggested tests reject the true null hypothesis of no effect on...

I analyze a simple test statistic for mean abnormal returns in the presence of stochastic volatility during both event and nonevent windows and in the presence of event-induced variance increases. Unlike previous tests, the parametric test evaluated here does not require that the volatility...