The multitude of explanations for the January effect leaves the reader confused about its primary cause(s): is it tax-loss selling, window dressing, information, bid-ask bounce, or a combination of these causes? The confusion arises, in part, because evidence has generally been presented in...

While research using stock prices has rejected the hypothesis that market power is important in motivating horizontal mergers, studies of airfares find evidence consistent with a dominant role of market power in airline mergers. The author integrates the two lines of research by examining the...

This article is an exploratory examination of the benefits and risks associated with opening of stock markets. Specifically, we estimate changes in the level and volatility of stock returns, inflation, and exchange rates around market openings. We find that stock returns increase immediately...

We examine stock market reactions to commercial air crashes to test the hypothesis that consumers respond by switching to rival airlines and/or flying less. We focus on the stock price reactions of airlines not involved in the crash. If switching occurs, noncrash airlines should benefit to the...

We study the price effects of changes to the S&P 500 index and document an asymmetric price response: There is a permanent increase in the price of added firms but no permanent decline for deleted firms. These results are at odds with extant explanations of the effects of index changes that...

We argue that short sellers affect prices in a significant and systematic manner. In particular, we contend that speculative short sales contribute to the weekend effect: The inability to trade over the weekend is likely to cause these short sellers to close their speculative positions on...

Agency-cost models suggest that firms may pursue riskier strategies in times of financial distress. For example, stockholders of financially weak firms in industries where quality cannot be observed ex-ante have an incentive to compromise safety and quality to maximize current period profit....

This paper examines price changes associated with airline mergers during 1985-88, a period of natural experimentation in which mergers were not contested by the government. The results show that prices increased on routes served by the merging firms relative to a control group of routes...