The valuation effects of the Mexican debt crisis are re-examined in a new way. Instead of concentrating upon the announcement of the Mexican debt moratorium, like some previous work, the valuation effects are investigated for eight major events that occurred over a period of two years, events...

Rather than assessing the market reaction to individual dates associated with the Brazilian debt crisis, eight significant dates associated with the crisis are studied simultaneously. The results show a systematic shift in the returns generating process, caused by the debt crisis. The beta of...

This paper examines the momentum returns from portfolios constructed using the NYSE-AMEX stocks. Following the methodology of Jegadeesh and Titman (1993), we form the momentum portfolio by going long on winners, defined as securities with returns in the top decile of previous six-month...

Unlike previous studies, this paper finds a consistent and highly significant relationship between beta and cross-sectional portfolio returns. The key distinction between our tests and previous tests is the recognition that the positive relationship between returns and beta predicted by the...

The evidence in this paper supports the hypothesis that the previously documented stock price reversal following a tender offer announcement is consistent with a price pressure caused by a temporary shift in the security's demand curve. The authors came to this conclusion by redocumenting the...

This paper examines the effects of board composition and ownership structure in the valuation of target firms in cancelled mergers. These results find no significant association between board composition and shareholder wealth. On the contrary, when a merger is cancelled by the target firm,...