This paper considers the Arbitrage Pricing Theory when investors have incomplete information on the parameters generating asset returns. Each asset in the economy may have a different amount of information available on it. Bayesian investors use their prior beliefs in conjunction with the total...

This paper extends the Santa Fe Artificial Stock Market Model (SFASM) studied by LeBaron, Arthur and Palmer (1999, Journal of Economic Dynamics and Control 23, 1487-1516) in two important directions. First, some might question whether it is reasonable to assume that traders are capable of...

This study investigates the corporate spin-off. It provides the institutional details of the spin-off, an analysis of alternative hypotheses to explain spin-offs, and an event study. In addition, it contains a detailed analysis of the motives for spin-offs as provided by the companies. Anergy is...

We study 42 leveraged recapitalizations by takeover targets and find that the announcement is accompanied by a two-day abnormal return of 5.52% to shareholders. Bondholder wealth declines but not significantly. Cross-sectional analysis indicates cash payout is the key determinant to the stock...

The authors analyze the rationale for limit order trading. Use of limit orders involves two risks: (1) an adverse information event can trigger an undesirable execution, and (2) favorable news can result in a desirable execution not being obtained. On the other hand, a paucity of limit orders...

This paper provides evidence on the economic significance of the predictability in U.S. stock returns using a real-time asset allocation framework. We examine the performance of a Bayesian investor who relies on conditioning information (dividend yield, T-bill yield, default spread, and term...