This paper examines changes in return-generating processes before and after the crash of '87. We find that the process for daily returns of size-sorted portfolios changed from an ARMA (1, 2) in the pre-crash period to a MA(1) in the post-crash period. The change is explained by a "fads" model...

We examine trading activity, bid-ask spreads, and potential arbitrage opportunities for market makers in the period around conversion-forcing calls of convertible preferred securities. We find an increased turnover in the called convertible preferred stock, which is consistent with a clientele...

We examine trading activity, bid-ask spreads, and potential arbitrage opportunities for market makers in the period around conversion-forcing calls of convertible preferred securities. We find an increased turnover in the called convertible preferred stock, which is consistent with a clientele...