This paper addresses a number of important market microstructure issues associated with exchange traded equity options having significant research implications for studies investigating clustering on option strike prices. Price threshold levels are examined associated with exchange listing and...

Bouman and Jacobsen (2002) examine monthly stock returns for 37 world stock markets for the period January 1970-August 1998. They report that returns are significantly higher during the November-April periods versus the May-October periods in 36 of 37 markets examined and label this phenomenon...

Mongenstern's mantra quot;scrutinize your dataquot; is as relevant today as when he wrote it over a half century ago. This paper documents discrepancies across data sources in quot;closingquot; prices for Nasdaq stocks, which at times are economically meaningful. However, this discrepancy does...

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...

This paper examines all citations and self-citations to a list of 94 finance journals appearing in the Journal of Finance, Journal of Financial Economics and Review of Financial Studies from 1995 through 2005. Additionally, the publication profile of 100 prolific authors in top-tier finance...

Institutional Investor (II) Journals include the following nine finance/investment journals: (1) lt;igt;The Journal of Portfolio Managementlt;/igt; (JPM), (2) lt;igt;The Journal of Alternative Investmentslt;/igt; (JAI) (3) lt;igt;The Journal of Fixed Incomelt;/igt; (JFINC) (4) lt;igt;The Journal...