This paper uses both linear and nonlinear causality tests to reexamine the cross-autocorrelation between the returns on large and small firms. Consistent with previous results, we find that large firms lead small firms, but small firm autocorrelation, nonsynchronous trading, or a differential...

ABSTRACTThis paper extends the ‘remarkable property’ of Breusch (Journal of Econometrics 1987; <b>36</b>: 383–389) and Baltagi and Li (Journal of Econometrics 1992; <b>53</b>: 45–51) to the three‐way random components framework. Indeed, like its one‐way and two‐way counterparts, the three‐way random...

This article is interested in the management of a natural forest. The main objective is the analysis of the efficiency of the exploitation model by individual transferable quotas with overlapping generations, capital, and monetary legacy. A general equilibrium model including some realities of...

This study investigates the relation between petroleum futures spread variability, trading volume, and open interest in an attempt to uncover the source(s) of variability in futures spreads. The study finds that contemporaneous (lagged) volume and open interest provide significant explanation...

In this paper we examine insider trading around bank failures. We examine insider trading around four major bank failures that took place in the 1980's. The four failures that are examined are Continental Illinois National Bank and Trust Company, First City Bancorp., First Republic Bank and...

In this paper the educational background of the Chief Executive Officers (CEOs) of Large U.S. Firms are examined. Specifically, the educational background of CEOs from large U.S. firms, as identified in the Forbes 800 Compensation List, are examined. Information concerning the number of Chief...

This paper studies the heretofore unexamined effect of Sarbanes-Oxley Act of 2002 (SOX) on the spread-accruals relationship. We document that SOX has no impact on the overall spread-accruals relationship but, as hypothesized, it has a moderating effect on the discretionary (but not innate)...

The Arab economies present a unique opportunity to test the tax model of capital structure. These economies may be dichotomized into taxable and non-taxable states. The results support a number of implications of the tax-based theories of capital structure. We document relatively higher leverage...