This paper examines the within day pattern of common stock returns surrounding announcements of new issues of equity and debt by industrial firms. During the first fifteen minutes following new equity issue announcements, there is an abnormally large number of transactions, high volume, and a...

The institutional features of the Tokyo Stock Exchange allow tests that provide new insights into the determinants of stock return variances. When the exchange is open on Saturday, the weekend variance is roughly 60% higher than when it is closed. However, weekly variances are not increased by...

This study develops procedures for testing announcement effects on intraday stock returns. Intraday stock returns surrounding announcements of new issues of equity and debt are examined. During the first fifteen minutes following new equity issue announcements, there is an abnormally large...

This paper compares trading and non-trading mechanisms for price discovery during the Nasdaq pre-open and examines whether prices discovered though non-trading mechanisms are less efficient or reveal less information than prices discovered through trading. As Nasdaq pre-open trading volume...