Using nine years of intraday data for the largest 3,000 U.S. stocks, we find a strong tendency for positive returns during the overnight period followed by reversals during the subsequent trading day. This behavior is driven by an opening price that is high relative to intraday prices....

In the days before earnings announcements we find an average price increase of almost 1 percent for stocks that are likely to be overpriced already - stocks with low institutional ownership combined with high market-to-book ratios, turnover, volatility, or analyst forecast dispersion. However,...

We examine the effects of secondary market liquidity on firm value and the decision to conduct an Initial Public Offering (IPO). Competitive liquidity provision can lead to market failure as the IPO either does not occur or the IPO price is discounted to reflect that some welfare-enhancing...

Although the arrival of investment opportunities increases the demand for information, it is also likely to exacerbate disclosure costs. This study examines the relationship between the arrival of investment opportunities and firm disclosures in the context of Medicare national coverage...

On the day that dividends are paid we find a significant positive mean abnormal return that is completely reversed over the following days. This dividend pay date effect has strengthened since the 1970s, and is consistent with the temporary price pressure hypothesis. The pay date effect is...

We empirically examine the American and British survey datasets for about 16,000 privately held small businesses. The financial behavior of private firms demonstrates substantial financial contentment. We find fewer than 10% of the British firms seek rapid firm expansion while only 1.32% of...

This paper studies information blockages and the asymmetric release of information in a security market with fixed setup costs of trading. In this setting, 'sidelined' investors may delay trading until price movements validate their private signals. Trading thereby internally generates the...

Consistent with theoretical models of speculative trading, we show that abnormal trading activity increases before earnings announcements, especially for stocks with high dispersion of opinions. Moreover, consistent with Miller's (1977) theory and other disagreement models, for stocks that are...

Using nine years of data for the largest 3,000 U.S. stocks, we find a tendency for positive returns during the overnight non-trading period followed by reversals during the subsequent trading day session. This pattern is driven by an opening price that is high relative to intraday prices, rather...

Price discovery is the process whereby value-relevant, private information becomes impounded or reflected in a stock's publicly-observable market price. The timeliness of price discovery refers to how quickly that process takes effect.There is no reason to believe either that all private...