The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There...

Using several proxies for seasonal affective disorder (SAD), we find that SAD negatively affects IPO first trading day return (underpricing) during the 1981-1989 and 1999-2000 periods, but not during the 1990-1998 and 2001-2007 periods. During those periods when SAD affects IPO underpricing,...