Rather than assessing the market reaction to individual dates associated with the Brazilian debt crisis, eight significant dates associated with the crisis are studied simultaneously. The results show a systematic shift in the returns generating process, caused by the debt crisis. The beta of...

This paper examines the momentum returns from portfolios constructed using the NYSE-AMEX stocks. Following the methodology of Jegadeesh and Titman (1993), we form the momentum portfolio by going long on winners, defined as securities with returns in the top decile of previous six-month...

Unlike previous studies, this paper finds a consistent and highly significant relationship between beta and cross-sectional portfolio returns. The key distinction between our tests and previous tests is the recognition that the positive relationship between returns and beta predicted by the...

The empirical evidence on mergers and takeovers indicates that positive gains due to mergers and takeovers ac‐crue almost entirely to the target firms. While average abnormal returns to target firms are invariably positive, returns to bidding firms are negative in case of mergers and not...

Leveraged exchange traded funds (LETFs) are marketed as short-term trading vehicles that magnify the daily returns of an underlying index. With the proliferation of LETFs over the last 10 years, a diversified portfolio that mimics the returns of a 100% investment can be created using only a...