In this paper, the authors investigate the effects of relative price variability on output and the stock market, and gauge the extent to which inflation proxies for relative price variability in stock-return-inflation regressions. The evidence shows that the negative stock-return-inflation...

This study investigates the seasonal pattern of aggregate insider trading to help disti nguish between two competing explanations for the seasonal pattern of security returns. The first potential explanation examined is that t he January effect arises from predictable changes in turn-of-the-year...

This paper uses a stochastic dominance approach to test for market efficiency following earnings announcements. We find that the stocks that recently announced good earnings news stochastically dominate those that recently announced bad news. The results cast serious doubt on any belief that...

This study investigates the information content of aggregate insider trading by analyzing ap proximately sixty thousand open-market sales and purchases by insider s from January 1975 to October 1981. The paper first examines the rel ation between market movements and aggregate insider trading....

This study examines the stock transactions of top managers of bidder firms for their personal accounts as signals about their motivations regarding corporate takeovers. Overall, the data indicate that, prior to takeover announcements, top managers increase their net purchases rather than sales....

This article investigates two aspects of dividend tax avoidance not addressed by prior research. First, it examines the aggregate dividend tax savings provided to individuals through tax-exempt and tax-deferred accumulators. Using the Internal Revenue Service Individual Income Tax Model, it then...

This paper documents that, for the period from 1975 to 1989, the aggregate net number of open market purchases and sales by corporate insiders in their own firms predicts up to 60 percent of the variation in one-year-ahead aggregate stock returns. This study also examines whether the ability of...

The authors document significant sales by the insiders of firms filing bankruptcy petitions prior to the filing date. They also find that selling is more intense for top executives and officers and that insiders in general systematically sell stock before prices fall and buy stock after prices...

This article provides direct evidence on the empirical importance of tax-reduction strategies. The authors' results indicate that relatively few investors trade securities to reduce their taxes and that tax-induced trading has little effect on stock prices. Their findings suggest that, holding...