We test the Kraus-Litzenberger three-moment capital asset pricing model (CAPM) and the Fama-French (FF) three-factor (FF) model with the C-test proposed by Davidson and MacKinnon. We are unable to reject the null hypothesis that expected returns are described by either of the models in...

In performing an empirical analysis of stock market returns there are certain conditions under which the quadratic characteristic line (QCL) will be the appropriate return-generating process compared to the linear characteristic line (LCL). These conditions are whether the parameter associated...

The present study empirically examines the contribution of the acquired banks in only the nonconglomerate types of mergers (i.e., banks with banks), where the bulk of the payment is in the form of equity to the acquiring bank and finds overwhelmingly statistically significant evidence that...

For a set of firms with concentrated insider ownership, we find that (a) the bidask spread changes significantly around the board meeting dates, and (b) the actual number of transactions by insiders increases following the board meetings. We also find that there is a statistically significant...

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...