This paper examines the relative performance of small-caps vs. large caps surrounding periods of peaks and troughs of economic activity, and reexamines the relationship between the small firm anomaly and the business cycle. Small-cap firms outperform large caps over the year subsequent to an...

This study examines the effect of Exchange Traded Funds (ETFs) on their underlying AmericanDepository Receipts (ADRs). We find that percentage of ADR shares owned by ETFs increasesdramatically in the past two decades. Contrary to U.S. firms, ETF ownership is positivelyassociated with stock...

This study investigates the presence of intraday patterns in the eleven sectors of the United States (U.S.) economy. Key contributions are in terms of assessing (i) risk and return patterns at specific time periods of the trading session on the New York Stock Exchange (NYSE), (ii) whether a...

Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

Asymmetric information between the issuer to potential investors believed by some academics in finance as one of the main causes of the phenomenon of underpricing at the time of the initial public offering (IPO). On science and technology-based company main problem lies in how to conduct...

We investigate how information processing frictions contribute to household suboptimal saving and investment behavior. We find that 60% of open accounts in college 529 savings plans are invested suboptimally due to high expenses and tax inefficiency. Such investments yield an expected loss of 9%...

The Silicon Valley Bank (SVB) collapse is the most significant US bank failure since 2008. Considering the new role of social media to effect bank runs, it is critical to investigate the impact of this collapse on US market sectors. Using an event study approach, we identify significant...

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....