We examine the announcement-period acquirer returns and target values for a large sample of cross-border acquisitions by U.S. firms, differentiating between private and public targets and paying particular attention to the legal protection of minority shareholders in the target country. For...

In this article we examine whether the traditional characteristic liquidity premium can be explained by market liquidity risk. We find that after adjusting for Pastor and Stambaugh market liquidity factor, the level of traditional liquidity remains priced. Also, consistent with previous studies...

"This study demonstrates that intraday volume and return on LIFFE interest rate and currency futures exhibit an asymmetric volume-return relationship characterised by significantly larger volume associated with negative returns than with non-negative returns. This finding is unlike the stylised...