Jegadeesh (1991) finds evidence of January mean reversion in stock returns. In this paper we attempt to distinguish between two competing economic explanations of January mean reversion in returns: (1) mispricing in irrational markets versus (2) predictable time variation in security risk...

We develop an interactive model involving competitive tax evasion to determine optimal transfer prices by multinational firms. We establish that the proposed game is characterized by multiple equilibria. Implications of these multiple equilibria are examined.

We examine the information asymmetry hypothesis and the management control hypothesis by examining the relation between insider trading and insider holdings to the choice of payment method in acquisitions. Our results indicate that both insider ownership and insider trading are significantly...

In this paper I examine seasonality in the pricing of the Chen, Roll, and Ross (1986) macroeconomic variables. January seasonality is observed in the risk premia from 1932 to 1990. Examination of the 1932-57 period indicates nonstationary seasonals in the risk premia. The results cannot be...

This paper studies conditions under which prices are sticky in a non-competitive market even though there is no menu cost associated with price changes. We posit that a typical seller encounters a series of repeat-buyers some of whom may revise their reservation prices (in an unknown fashion) if...

Natural disasters can affect insurer share prices in two counterbalancing ways: (1) through the uncertainty regarding an insurer’s ability to handle loss claims and (2) through a potential increase in demand for insurance and/or increase in insurance rates. Given the historically catastrophic...