We examine the empirical results from implementation of portfolio insurance strategies employing currency spot and futures options. Hypotheses are generated from Ogden and Tucker's (1988) generalizations concerning the relative values of American spot currency options and currency futures...

Several authors have previously determined that abnormal returns exist on ex-cash dividend days and ex-stock dividend days. In other words, stocks do not, on average, fall by the dividend amount, or fully adjust to stock distributions on ex-days. This paper proposes that NYSE Rule 118 and AMEX...

Investors can exploit the correlations between international stock markets by trading no-load, open-end, international mutual funds. These investors in effect cheat passive investors because they buy the mutual funds at their net asset values, which do not reflect information released during the...

I estimate the extent to which mutual fund portfolio trading of securities is triggered by investor flows into and out of the funds, and find that this liquidity-induced portfolio trading activity is smaller than previously estimated by Edelen (1999). I obtain estimates from a much larger and...