We examine the impact of accounting restatement announcement on firms’ value and information asymmetry for both auction market (NYSE-AMEX) and dealer market (NASDAQ) using a public sample of restatement announcements from 1997 to 2005. In both markets, we document economically and...

In this article we examine whether the traditional characteristic liquidity premium can be explained by market liquidity risk. We find that after adjusting for Pastor and Stambaugh market liquidity factor, the level of traditional liquidity remains priced. Also, consistent with previous studies...

Building on the work of Das and Sundaram (2007), we develop a widely applicable model to price securities subject to interest rate, equity, and default risks and use it to price exchangeable bonds. The extension features a trivariate recombining lattice instead of the original model’s...

This paper examines two stylized regularities in currency futures traded on the International Monetary Market. Short horizon returns (weekly and monthly) sampled over the period 1984-1994 exhibit significantly positive autocorrelations at moderate lags. The pattern of autocorrelations in returns...

We provide evidence supporting Rubinstein's (1973) model that if returns are not normal, measuring risk requires more than just measuring covariance. Higher-order systematic comoments should be important to risk-averse investors who are concerned about the extreme outcomes of their investments....

We examine whether the use of the three-moment capital asset pricing model can account for liquidity risk. We also make a comparative analysis of a four-factor model based on Fama-French and Pástor-Stambaugh factors versus a model based solely on stock characteristics. Our findings suggest that...

We study the relative positions of M1 and M2 in light of their relationships with four U. S. equity exchanges: S&P500, Dow Jones Industrial, Nasdaq, and Wilshire 5000 composite. It is demonstrated that a long-term equilibrium relationship does indeed exist. Short-run dynamics are also considered...

We examine the announcement-period acquirer returns and target values for a large sample of cross-border acquisitions by U.S. firms, differentiating between private and public targets and paying particular attention to the legal protection of minority shareholders in the target country. For...