We apply an option-pricing framework to the ex-dividend behavior of common stocks. The framework explains the observed behavior of positive returns on the ex-dividend day and predicts that ex-dividend day returns will be higher for firms with greater financial leverage. Empirical testing...

This paper proposes the application of an option-pricing framework to the ex-dividend behavior of common stocks. This framework explains the observed behavior of positive returns on the ex-dividend day and predicts that ex-dividend day returns will be higher for firms with greater financial...

We apply an option-pricing framework to the ex-dividend behavior of common stocks. The framework explains the observed behavior of positive returns on the ex-dividend day and predicts that ex-dividend day returns will be higher for firms with greater financial leverage. Empirical testing...

This study provides an elementary discussion of deterministic chaos as it applies to security returns. the study demonstrates a simple technique, well known in the physical sciences, for discriminating between random and chaotic time-series. Applying the technique to a time-series of daily...

In response to the need for a simple financial instrument that enables retail investors to participate easily and quickly in the U.S. equity market and that facilitates basket trading by institutions, the American Stock Exchange introduced Standard and Poor’s Depository Receipts (SPDRs) on...