This study addresses a number of important market microstructure issues associated with exchange‐traded equity options having significant research implications for studies investigating clustering on option strike prices. Price threshold levels associated with exchange listing and the...

This paper addresses a number of important market microstructure issues associated with exchange traded equity options having significant research implications for studies investigating clustering on option strike prices. Price threshold levels are examined associated with exchange listing and...

Bouman and Jacobsen (2002) examine monthly stock returns for 37 world stock markets for the period January 1970-August 1998. They report that returns are significantly higher during the November-April periods versus the May-October periods in 36 of 37 markets examined and label this phenomenon...

Mongenstern's mantra quot;scrutinize your dataquot; is as relevant today as when he wrote it over a half century ago. This paper documents discrepancies across data sources in quot;closingquot; prices for Nasdaq stocks, which at times are economically meaningful. However, this discrepancy does...

Prior research by Bouman and Jacobsen (2002) document unusually high monthly returns over the period November-April for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. The implication is that the Halloween effect represents an exploitable...

Examining the years 1970 to 1998, Bouman and Jacobsen (2002) document unusually high monthly returns during the November-April periods for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. Their research suggests that the Halloween effect...

Bouman and Jacobsen (American Economic Review 92(5), 1618–1635, 2002) examine monthly stock returns for major world stock markets and conclude that returns are significantly lower during the May–October periods versus the November–April periods in 36 of 37 markets examined. They argue...

Examining the years 1970 to 1998, Bouman and Jacobsen (2002) document unusually high monthly returns during the November-April periods for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. Their research suggests that the Halloween effect...