We examine debenture yields over the period 1983-91 to evaluate the market's sensitivity to bank-specific risks, and conclude that investors have rationally reflected changes in the government's policy toward absorbing private losses in the event of a bank failure. Although this evidence does...

An important question for bank regulatory policy is whether supervisory examinations of large commercial banking firms - institutions that are already actively followed by many investors and their private sector agents - produce useful information that is not already reflected in market prices....

We examine the long-term stock performance following the initiation and resumption of stock dividends during the period from 1927 to 1998. We show that the post-announcement abnormal returns are significantly positive for equally weighted calendar time portfolios, but become insignificant when...

Early studies find that option introductions tend to raise the price of underlying stocks. More recent research indicates that post-1980 option introductions are associated with negative abnormal returns in underlying stocks. Other studies document increased short-sale activities following...

I examine the effect of option listings on underlying stock prices during 1973 - 1992. In accordance with previous studies, I find that option listings increase stock prices between 1973 and 1980. While some authors attribute this price increase to market completion, I show that this increase is...

We document an important relation between two well-established anomalies: momentum and short-term reversal. Only stocks with negative momentum experience short-term reversal. Using Chan's (2003) news database, we show that the market appears to overreact to public news following bad past...