This paper examines the information shares in four pairs of Canadian agricultural cash and futures markets by exploring their cointegrating relationships. Using error correction models (ECMs) and Hasbrouck's econometric method of estimating information shares, the results show that the price...

Based on the information-related view of financial intermediation and the role of reputation capital, this study contributes to the extant literature by designing an empirically testable hypothesis related to the existence and use of reputation capital. It is hypothesized that one of the...

The holiday effect is one of the most perplexing of all seasonal anomalies. Based on evidence using pre-1987 equity returns, this anomaly has been shown to be responsible for somewhere between 30 to 50% of the total return on the market while exhibiting below average variances (Lakonishok and...