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In this paper, the authors use stock market data to examine the intraindustry effects of the July 5, 1982, closure of the Penn Square Bank. A sample of fifty-four bank stocks is divided into four portfolios: industry, money center, Texas, and upstream. The latter group consists of banks that had...
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Most initial public offerings (IPOs) feature share lockup agreements, which prohibit insiders from selling their shares for a specified period of time following the IPO. However, some IPO firms agree to have a much longer lockup period than other IPO firms, and some are willing to lockup a much...
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When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i.e., S&P 500 Index futures and Index options). I examined the effects of such cross-listing on the trading volume and return volatility of the underlying component stocks....
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Monte Carlo procedures are used to compare the finite sample performance of several estimators that may be used in cross-sectional regressions with security abnormal returns as the dependent variable. Alternative models of event-induced increases in stock return variance are examined for the...
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