This study examines the effects of changes in the market's outlook for investment on the returns of dividend payers and non-payers to test the excess cash theory for dividends. When the market's outlook declines, the adverse effect is stronger for non-payers than payers and the difference...

Stock market evidence shows that momentum profits are lower among dividend-paying firms than their non-paying counterparts due to differences in losers' returns. Additionally, dividend maintenance is associated with higher returns for losers but not for winners. Finally, buying winners that...

Recent evidence indicates that momentum profits are sensitive to market conditions. We find that the profits are higher when the markets continue in the same state than when they transition to a different state. These findings support Daniel, Hirshleifer, and Subrahmanyam (1998), who suggest...

The well documented positive relation between returns and lagged illiquidity suggests that illiquidity is a priced characteristic of stocks. Recent studies suggest that stock returns are inversely related to the contemporaneous unexpected illiquidity, which is consistent with price revisions to...

The NYSE extended its trading hours on September 30, 1985, by opening at 9:30 a.m. rather than at 10:00 a.m. Whereas the market closure models predict that the extension would result in lower relative volume and return variability at the open, the strategic trading models predict that the...

The New York Stock Exchange extended its trading hours by 30 min in 1974 and in 1985; the first extension resulting in a delayed close and the second in an early open. We find a shift in volume to the new period after each extension. Additionally, there is a larger increase in volume after the 1985...

Cabedo and Moya [Cabedo, J.D., Moya, I., 2003. Estimating oil price 'Value at Risk' using the historical simulation approach. Energy Economics 25, 239-253] find that ARMA with historical simulation delivers VaR forecasts that are superior to those from GARCH. We compare the ARMA with historical...

In this paper, investigation has been made to analyse the marketable and marketed surpluses of leading crops viz. different varieties of rice, wheat, potato, mustard and lentil. This study suggests that marketed surplus as percentage of total production was found highest in potato (64 per cent)...