This article examines predictability of returns and volatily in three major stock markets, the U.S., U.K., and Japan, using the Vector Autoregrassive and the Autoregressive Conditional Heteroskedastic (ARCH) approaches. We find that in all three markets dividendprice ratios and/or dividend...

Evidence of mean reversion in U.S. stock prices during the post‐World War II era is mixed. I find that using the standard portfolio formation method to construct size‐sorted portfolios is inadequate for detecting mean reversion. Using alternative portfolio formation methods and additional...

Hall (2001a) argues that the value of intangible assets can be inferred from firms’ stock market value and the value of tangible assets, which suggests rational valuation in the market. This paper investigates the relationship between firms’ future stock returns and their inferred...

Using data from the stock markets of Japan, the UK and the US, this paper examines the time series properties of a price index derived from a zero net investment strategy of buying value stocks and short selling growth stocks. We use the results of this analysis to consider implications for the...

The finance literature extensively documents the abnormal positive returns of unseasoned initial public offerings (IPOs) in the early trading. Neuberger and LaChapelle (1983), McDonald and Fisher (1972), Neuberger and Hammond (1974), Reilly (1977), Logue (1973), Ibbotson (1975), Ibbotson and...

Prior research (e.g Holthausen and Leftwich, 1986) has found that firms’ stock prices react negatively to announcements of downgrades of their bond ratings. Our study examines whether stock prices react negatively to downgrades because the rating agency conveys adverse private information...

This study aims to advance the understanding, in a cross‐cultural context, of the roles that ethical vs. self‐interest considerations play in project continuation decisions. Fifty‐eight executive MBA students from the People’s Republic of China (PRC) completed a project continuation...

This study contributes exploratory evidence on the relationships between corporate culture and company size, competitive environment and corporate performance in the U.S. and Taiwan. The findings indicate that environmental uncertainty – one aspect of industry dynamics – failed to uncover...

This study documents the amount of time it takes for Initial Public Offerings (POs) to make the transition from underperformance to meeting or exceeding the return for firms of similar size. The study looks at yearly holding period lengths of 1 to 10 years. The results of this study show that if...

Initial public offering (IPO) lockup agreements prevent insider sale of shares for specified periods of time (often 180 days). This study investigates share price reactions at and around the time the lockup agreements expire. Results indicate statistically significant negative abnormal returns...