This paper puts the PIN variable (Probability of INformation-based trading) to test. We find that for a large set of stocks, the PIN variable is lower (albeit insignificantly) in the periods before earnings announcements dates than in the periods after earnings announcements dates. This is...

Countries whose citizens have liberal ideals are less biased toward domestic equity. Data from 30 countries suggests that economic as well as social liberalism is associated with proportionally higher foreign equity holdings. A one standard deviation increase in the level of economic (social)...

Using daily return data from 448 actively managed mutual funds over a recent 9-year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns...

Using daily observations from 448 actively managed funds, we employ the methodology in Bollen and Busse (2001) in order to assess the ability of fund managers to time systematic risk factors. We first construct synthetic portfolios in order to obtain the empirical distribution of timing...

Companies whose names contain the words “America(n)” or “USA” earn positive abnormal returns of about 6% per annum during World War II, the Korean War, and the War on Terrorism. These abnormal returns are not realized immediately upon the outbreak of each of the wars but are accumulated...

In this paper, we review the literature on private benefits and cross-listings in the United States. We first discuss the alternative approaches used to measure private benefits. We survey recent evidence documenting cross-country differences in the levels of private benefits obtained by...

Designated market makers (DMMs) have traditionally been a source of liquidity for exchange-traded securities and financial contracts. Recent regulatory and technological developments, however, have changed the environment in which DMMs operate, raising questions about their place in the new...