The focus of this article is to test the trading cost hypothesis of price leadership, which predicts that the market with the lowest overall trading costs will react most quickly to new information. In an attempt to hold market microstructure effects constant and in contrast to previous studies,...

Expanding the level of entrepreneurial activity within all nations is an increasingly important political and economic goal, especially for developing countries. Literature suggests that culture, education and environment play key roles, yet these attributes vary greatly across nations. This...

We test whether the conversion price (ratio) is viewed by the stock market as a credible signal of the firm's future earnings prospects (Kim (1990)) and, subsequently, whether convertible debt serves as backdoor equity financing (Stein (1992)). Examining the conversion price in relation to...

This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evolution of the...

Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have been...