Using improved methodology and an expanded research design, we examine whether the small firm/January effect (Keim, D. B. (1983). Size-related anomalies and stock return seasonality: further empirical evidence. Journal of Financial Economics 12:13-32), is declining over time due to market...

This article compares the properties of several common liquidity measures including the bid-ask spread, the liquidity ratio and firm size. We also use the proportional hazard model to develop a new measure, the relative odds ratio, based on the volume necessary to move prices by a predetermined...

In quality-differentiated audit markets with client-firms of unknown types, insider-managers of client firms strategically select auditors who respond to legal liabilities to decide their care level. In this signaling game, uninformed-investors use the audit report and the auditors' identity for...

Agency Theory would suggest that increased firm ownership should mitigate a manager's propensity to fraudulently divert resources for unauthorized consumption. However, most of the frauds in recent times have been committed by senior managers and/or Chief Executives who may own a significant...

When capital investments are made in an agency setting, we show that, even without risk considerations, capital rationing need not be the only rational outcome. We analyze a principal-agent model with risk neutrality and with two productive inputs: the agent's efforts and capital investment. The...

For testing the hypothesis that the two distributions differ only in regression lines, parallel or not, asymptotically distribution free test of Kolmogorov-Smirnov type based on certain aligned observations are proposed.

We show that a statistical functional is asymptotically normal if it induces a Hadamard differentiable functional defined on the space D[0, 1]p. This work involves p-dimensional empirical processes. As an example we illustrate the use of the von Mises method in proving the asymptotic normality...