We use two extremely liquid S&P 500 ETFs to analyze the prevailing trading conditions when mispricing allowing arbitrage opportunities is created. While these ETFs are not perfect substitutes, we show that their minor differences are not responsible for the mispricing. Spreads increase just...

We show that investor protection legislation is an important determinant of the returns of target companies that are subject to takeovers within Europe. Announcement and post-announcement returns are higher in strong investor protection countries, which indicates that bidders are forced to offer...

We investigate the impact that stronger regulation has on takeover returns in New Zealand. This is an ideal laboratory as New Zealand moved from an environment of relatively weak takeover regulation to one governed by a prescriptive Takeovers Code in several defined steps. The effect of New...

We use two extremely liquid S&P 500 ETFs to analyze the prevailing trading conditions when mispricing allowing arbitrage opportunities is created. While these ETFs are not perfect substitutes, our correlation and error correction results suggest investors view them as close substitutes. Spreads...

Time in the market substantially reduces the risk of loss resulting from holding both stocks and bonds. By focusing on a downside VaR risk proxy in 25 emerging and 24 developed markets, we show that the downside risk of both stocks and bonds is greatly reduced as the investment horizon is...

Purpose – The purpose of this paper is to investigate how the announcement and implementation of short sales and margin trading regulation affects Chinese stock returns and trading volume. On 31 March 2010, the Chinese regulators launched a pilot programme, allowing short sales and margin...

Frontier markets which are countries that have not yet reached emerging market status, have been shown to provide diversification benefits for international investors. However, many stocks in these markets are thinly traded so liquidity is an important consideration. We investigate which...