There are now a large and rapidly growing number of studies that test the constancy of stock return anomalies. In this study, we produce new and convincing evidence that the standard constancy test is heavily influenced by selection bias. Backed by a carefully designed Monte Carlo simulation, we...

Using an estimation technique from the econometrics literature on limited dependent variables, we find that the unconditional expected abnormal stock-price performance associated with the proposal of an antitakeover amendment is negative and significant. We also provide the first direct evidence...

The option delta plays a key role in eliminating the risk in continuously rebalanced hedges. This need not be the case in discretely rebalanced hedges. Robins and Schachter (Management Science, June 1994) show how the minimum variance discretely rebalanced (European call) option hedge ratio...

Before 1975, the mean weekend rate of return on the equal-weight (value-weight) stock market portfolio is significant -18bp (-19bp). After 1975, it is insignificant -5bp (-1bp). This break date is determined by a structural break test with unknown break date. The weekend effect is no longer an...

From 1926 to 2016, the average stock return on the day before holiday market closings is up to 15 times the average return on all the other days of the year. We study whether this holiday effect is contingent on the subperiod over which it is estimated and locate the critical break dates that...

We replicate French, Schwert, and Stambaugh (1987) (FSS) with up-to-date data and new tools from the modern toolbox of econometric methods. As we proceed, we highlight the main technical details and econometric methods from the original study and, when necessary, update them. While our main goal...

The stochastic properties of discretely rebalanced option hedges have been studied extensively beginning with Black and Scholes (1973). In each analysis hedges were "delta-neutral" after rebalancing. We argue that the distributional properties of discretely rebalanced hedges are such that...