We investigate whether performance enhancement motivates the changes to the constituents of the Standard and Poor's 500 Index, and whether these changes in fact enhance the Index's performance. To test these, we compare the performance of the stocks that were deleted from the Index to the...

We empirically tests whether stock liquidity and investor sentiment have interactive effects on seasoned equity offers (SEOs) price discounts in Australia. Our results show that, in periods of deteriorating investor sentiment, the increase in SEO price discounts for firms with illiquid stocks is...

Recent evidence indicates that momentum profits are sensitive to market conditions. We find that the profits are higher when the markets continue in the same state than when they transition to a different state, consistent with the effects of correctional return reversals on the profits. Daniel,...

Recent studies report muted price reactions to large dividend increases, attributing the phenomenon to volatile dividends and subsequent dividend cuts. This paper finds that the price also reacts slower to large dividend increases, suggesting the price effects of these events are more uncertain...

We study the relation between foreign exchange market quality and both trading activity and dealer concentration by considering two currency pairs with significant differences along both dimensions – the Euro-US dollar and Canadian dollar – US dollar. A variance ratio test reveals...

This paper examines the information content of two different measures of aggregate equity-market order flow for future macro fundamentals and expected stock market returns. The first measure, the cross-sectional average of individual stock order flows, predicts future growth rates for industrial...

This paper examines common effects in monthly imbalances for New York Stock Exchange stocks over the period 1988 through 2004. Order imbalances for both individual stocks and portfolios display size and book-to-market based commonality that transcends marketwide effects. The three common factors...

Studying major currencies versus the U.S. Dollar, this paper makes two contributions. First, we document strong comovement in both intraday and daily currency spreads. We also show that currency spreads co-move with aggregate U.S. equity market spreads. Thus, comovement in liquidity is even more...

This paper examines the information content of two different measures of aggregate equity-market order flow for future macroeconomic fundamentals and expected stock market returns. The first measure, the cross-sectional average of individual stock order flows, predicts future growth rates for...

This paper examines common effects in monthly imbalances for New York Stock Exchange stocks over the period 1988 through 2004. Order imbalances for both individual stocks and portfolios display size and book-to-market based commonality that transcends marketwide effects. The three common factors...