This paper proposes tests of unconditional mean-variance efficiency using bootstrap method that does not depend on specific distributional assumptions. We reject the mean-variance efficiency of the CRSP value- weighted stock index for five of the seven consecutive ten-year subperiods from 1926...

Price limits supposedly provide a cool-off period that allows investors to reassess the market conditions. They represent an implementation risk, a special form of arbitrage risk, that impedes arbitrageurs from engaging in arbitrage activities to correct for potential mispricing. We conjecture...

Based on the errors-in-variables-free approach proposed by Brennan <italic>et al</italic>. [<italic>J. Financial Econ.</italic>, 1998, <bold>49</bold>, 345--373], we investigate the competing explanatory capabilities of alternative multi-factor models when examining various asset-pricing anomalies using Japanese data for the period...

Industry returns cannot be explained fully by well-known asset pricing models. This study reveals that common factors extracted from industry returns carry significant risk premiums that go beyond the explanatory power of size, book-to-market (BM) ratios, and momentum. In particular, this study...

Statistical tests for multivariate event studies--exact or asymptotic--are derived based on multivariate normality. As it has been previously documented that the performances of these tests are not satisfactory, because stock returns are far from normally distributed (especially for daily...