In recent years there have been reports of excessive price volatility and value differences between prices of exchange traded funds (ETFs) and their underlying asset values. The objective of our study is to shed light on these facts by taking a closer look at the relationship between return...

Motivated by agency theory, this study attempts to ascertain whether chief executive compensation is influenced by legal rules. In particular, we analyze whether Delaware law has an impact on CEO pay. Legal rules have been argued to impact agency conflicts. Agency costs, in turn, affect CEO...

Based on an extensive sample of U.S. closed-end funds undergoing open-ending, we examine the behavior of discounts prior to the announcement till open-ending. Discounts are significantly reduced upon announcement of open-ending with price increase. Announcement period return is directly related...

Purpose – The purpose of this paper is to examine the impact of trades by informed traders and uninformed traders on the asymmetric volatility relation, a stylized fact that has long been puzzling financial economists. Avramov, Chordia, and Goyal's hypothesized that asymmetric volatility,...

We test whether stock returns in the Asian markets are characterized by infinite variance or just large variance, which has an important implication for the applicability of many financial models in Asian market data. Employing the extreme value framework, we find that the Asian index return...

Purpose – The purpose of this paper is to examine the impact of trades by informed traders and uninformed traders on the asymmetric volatility relation, a stylized fact that has long been puzzling financial economists. Avramov, Chordia, and Goyal's hypothesized that asymmetric volatility,...

The Chicago Board of Trade (CBOT) introduced side by side trading of its agricultural futures commodities in August 2006. We analyze and compare market quality conditions in corn, soybeans, and wheat futures when these contracts trade simultaneously on open outcry and electronic trading venues....