A firm's incentive to disclose has been linked empirically to a range of variables including information asymmetry, agency costs, political costs, and proprietary costs. While the intuition underlying each of the variables seems plausible, Verrecchia (2001) argues that disclosure models can be...

This paper provides a method for testing for regime differences when regimes are long-lasting. Standard testing procedures are generally inappropriate because regime persistence causes a spurious regression problem - a problem that has led to incorrect inference in a broad range of studies...

Whether Republican or Democratic presidents are better for the the stock market has been closely scrutinized for years. Although much of it is discussed only in casual terms, a recent academic study by Santa Clara and Valkanov (2003) documenting that the market does significantly better under...

When the stock market has experienced a long period of rising prices, many investors begin to worry that it is about to fall. They may buy put options, only to kick themselves as a further advance in prices takes their protective puts far out of the money. One solution is a bear market warrant...

In the recent weeks of market turmoil, financial news services have begun routinely reporting the level of the CBOE's Market Volatility Index or quot;VIXquot;, for short. While this new practice is healthy in the sense that investors are asking for more information in helping to assess the state...

In the U.S., exchange-traded options are unprotected from cash dividend payments on the underlying stock. Consequently, it may become optimal to exercise deep in-the-money call options just prior to the ex-dividend day. In this study, we examine the extent to which option holders fail to...