Prior research by Bouman and Jacobsen (2002) document unusually high monthly returns over the period November-April for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. The implication is that the Halloween effect represents an exploitable...

Examining the years 1970 to 1998, Bouman and Jacobsen (2002) document unusually high monthly returns during the November-April periods for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. Their research suggests that the Halloween effect...

Bouman and Jacobsen (American Economic Review 92(5), 1618–1635, 2002) examine monthly stock returns for major world stock markets and conclude that returns are significantly lower during the May–October periods versus the November–April periods in 36 of 37 markets examined. They argue...

This paper examines unique cultural features associated with the Japanese calendar known as rokuyo, which classifies days into six categories of varying levels of favorable/unfavorable sentiment days. Prior to the internationalization of Japanese financial markets in the early 1980s, rokuyo has...

In early 2009, the SEC approved a series of rule changes impacting the market for equity options, and this paper reviews these changes. In particular, the $3 threshold level associated with continued optionability and the listing of new option series was eliminated. The rule changes allow each...

In The Ascent of Money (2008), the Harvard financial historian Niall Ferguson refers to the Black-Scholes option pricing model 'as a black box' which is beyond comprehension of anyone except the mathematically astute and leaves most investors baffled. In this paper, we develop a heuristic proof...

When theory and data conflict, Black argued that the safest course is to assume the theory is correct. As splits do not alter cash flows, one such conflict is findings of negative abnormal long-horizon returns following reverse splits. The extant literature has concluded reverse splits destroy...