This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European and Japanese dually-listed stocks with American stocks of comparable average trading volume and volatility. It is shown that the intra-day patterns for these stocks are...

We document that there is a significant foreign influence on the risk premium of U.S. assets. Using a bivariate GARCH-in-mean process for conditional expected excess returns, we find that the conditional expected excess return on U.S. stocks is positively related to the conditional covariance of...

This paper compares the intra-day patterns on the NYSE and AMEX of volatility, trading volume and bid-ask spreads for European dually- listed stocks, Japanese dually-listed stocks also listed in London, and Japanese dually-listed stocks not listed in London with American stocks of comparable...

This paper examines the intraday pattern of bid-ask spreads among NASDAQ stocks. We find that spreads are relatively stable throughout the day, but narrow significantly near the close. This contrasts with the U-shaped pattern for NYSE stocks reported by Brock and Kleidon (1992) and McInish and...

Previous studies rely on the event-study technique to investigate the impact of tick size change on market quality. We take a more powerful approach by examining the market quality of a set of stocks which would experience the largest impact of tick size change -- stocks with prices falling...

We analyze the performance of Japanese open-type stock mutual funds for the 1981-1992 period. The results show that, regardless of the performance measures and benchmarks employed, most of the Japanese mutual funds underperform the benchmarks by between 3.6% to 10.8% per annum. These funds tend...

A cash-in-advance model of a monetary economy is used to derive a money-based CAPM (M-CAPM) which allows us to implement tests of asset pricing restrictions without consumption data. A test a la Fama-MacBeth of the model suggests that the money betas have some explanatory power for the...