This paper examines changes in return-generating processes before and after the crash of '87. We find that the process for daily returns of size-sorted portfolios changed from an ARMA (1, 2) in the pre-crash period to a MA(1) in the post-crash period. The change is explained by a "fads" model...

This paper derives estimators that measure the impact of foregoing an opportunity to call convertible debt and the call announcement effect on the value of the firm. The results indicate that positive abnormal returns are associated with foregoing a call, and returns are negative upon the...