We directly estimate annual trading costs for a sample of equity mutual funds and find that these costs are large and exhibit substantial cross sectional variation. Trading costs average 0.78% of fund assets per year and have an inter-quartile range of 0.59%. Trading costs, like expense ratios,...

Mutual funds price their shares using last-trade prices of their underlying assets. Because last-trade prices are often stale, this practice results in fund share prices (NAVs) whose daily changes are predictable. We show that the predictability is pervasive and economically significant in...

This study develops and tests a theoretical rationale for the well-documented fact that IPO prices are revised only partially in response to waiting-period market returns. Rational issuers maximize the expected surplus from going public by weighing the probability of deal success against offer...

Weekly returns of stock portfolios exhibit substantial autocorrelation. Analytical studies suggest that nonsynchronous trading is capable of explaining from 5 to 65 percent of the autocorrelation. The varying importance of nonsynchronous trading in these studies arises primarily from differing...

A fundamental statistical test of serial independence is developed and applied to daily stock returns. Let <italic>x</italic> be the deviation of the daily return on a stock from its sample mean after any autocorrelation present has been removed. If <italic>x</italic> is serially independent, then the cumulative sum of <italic>x</italic> over...