Many portfolio managers on Wall Street believe that investing in cancelled targets after the termination of mergers and acquisitions is a profitable strategy because arbitrageurs usually unwind their position after the cancellation announcement. While the anecdotal evidence shows that...

We make tests on day-of-the-week stock market return patterns for Japan. We find that until the 1990s, Tuesdays have abnormal losses; in the 1990s, Tuesday losses disappear and Mondays have abnormal losses. Tests find that volume changes drive out the Monday loss.

We study four asset pricing anomalies: market size, contrarian, momentum, and book-to-market premia. We first control for two biases. We control for delisting effects, which create a survivorship bias. We then control for microstructure distortions from the bid-ask spread bounce, which upwardly...

This paper examines equity response to the occurrence of large non operating losses. As with previous studies, significant negative abnormal returns are detected around the occurrence of large losses. The paper extends the literature by examining issues not previously investigated. For a subset...

Variable annuities have become increasingly important in retirement plans. This paper provides an examination of the investment performance of variable annuities for the period year-end 1973 to year-end 1988. Returns, risk, and selectivity measures are analyzed for the sample of annuities, for...