In this paper we introduce a new financial product named Outperformance Certificates. We study the €43 billion sample by examining 1,507 issues of the certificates outstanding in August 2005 issued by banks in Europe. We present formulas to price the certificates and empirically examine the...

We investigate whether dividends convey information about the risk of a company by examining the reaction of implied volatility in the option market to the announcement of a dividend initiation. Implied volatility decreases after the announcement and the magnitude of the decline in volatility is...

This study examines the positive Monday returns detected in the stock market during the 1988--1998 period and finds that (a) the positive Monday returns are concentrated in the first and the third weeks of the month, and (b) they are related to the increasing trading activities of institutional...