Rumors can be classified into two types according to whether they can credibly predict impending events. Our analysis of takeover rumors of publicly traded US companies shows that public information on a rumored takeover target, particularly its historical Cumulative Abnormal Return (CAR) before...

This study investigates the relationship between the volatility of stock market indexes and the trading volumes of their Exchange Traded Funds (ETFs). Using both OLS and GARCH approaches we demonstrate that the contemporaneous trading volume of S&P 500 ETFs is a key determinant of S&P 500...