We show the existence of a viable gain-loss portfolio theory, relevant for investors seeking high expected gain compared to expected loss. Diversification, in gain-loss theory, raises a portfolio's gain-loss ratio even when all component assets have identical gain-loss ratios, as long as some of...

Mutual fund splits occur in high-priced funds after unusually high returns. Split factors are related to the deviation of a fund's price from the mean of all fund prices. Post-split prices are below the mean of other funds' prices. Post-split numbers of shareholders and assets do not increase...

Insider transactions are not random across growth and value stocks. We find that insider buying climbs as stocks change from growth to value categories. Insider buying also is greater after low stock returns, and lower after high stock returns. These findings are consistent with a version of...

We measure the postsplit performance of 12,747 stock splits from 1927 to 1996 using two methods to measure abnormal returns: size and book-to-market reference portfolios with bootstrapping, and calendar-time abnormal returns combined with factor models. Between 1927 and 1996, neither method...