This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive simulation demonstrates that the approach can successfully identify market states and generate measures of...

This paper shows a sharp contrast between theoretical predictions of merger negotiations when takeover markup and runup are measured in dollar vs rate terms. It argues that the empirical tests by an influential study cannot reject the hypothesis of a costly feedback loop as the authors claim....

Using a sample of firms that conducted multiple SEOs during 1995-2012, we examine whether firms can build credibility for subsequent SEOs by following through on their stated use of proceeds from earlier SEOs. We find that firms that previously state their intention to invest funds in projects...

We review both the theoretical and empirical literature relating to the impact of school choice programs, particularly voucher programs, on residential property values. Beginning with the seminal works of Charles Tiebout (1956) and Thomas Nechyba (1999, 2000, 2003), we describe the sorting...

We hypothesize that cognitive limitation may be manifested in a disproportionately large volume of limit orders submitted at round-number prices if investors use these numbers as cognitive shortcuts. Using detailed limit order data in the Taiwan Futures Exchange, we find that investors with...