This paper studies the investment recommendations made by brokerage and non-brokerage firms in an effort to examine the differential agency costs across three unique recommendation production environments. Using the ACE database, recommendation production environments are categorized into...

We examine the relation among average returns, market beta, firm size, and book-to-market value for Canadian stocks during the 1975-92 period. We document a negative relation between average return and the market capitalization of firms, but find no relation between average return and market...

Listed companies in China upon meeting certain requirements can issue two types of shares: A shares and B shares. Local investors in China can only buy and sell A shares, while foreign investors can only trade B shares. We argue that foreign investors may receive news about China faster than...

We study the effect of the implementation of new Securities Exchange Commission Order Handling Rules--the Limit Order Display Rule, the Quote Rule, and the Actual Size Rule--on NASDAQ's (National Association of Security Dealers Automated Quotation) quoting and trading behavior. We find that the...

We use cross-section regressions to study how a firm's value is related to dividends and debt. With a good control for profitability, the regressions can measure how the taxation of dividends and debt affects firm value. Simple tax hypotheses say that value is negatively related to dividends and...

We model the seasonal volatility of stock returns using GARCH specifications and size-sorted portfolios. Estimation results indicate that there are volatility differences between months of the year and that these seasonal volatility patterns are conditional on firm size. Additionally, we find...

Many individuals purchase shares in mutual funds as investments. With a lack of evidence supporting performance persistence in fund returns, investors should consider expenses as a fund-selection tool since fund expenses have a definite negative effect on fund returns. One of the largest...

We examine financial analysts' earnings revisions after self-tender offers. Consistent with the assertions of earlier studies that self-tender offers serve as signals of future performance, financial analysts significantly increase their forecasts of earnings for firms that announce self-tender...

The risk structure of interest-rates literature shows that coupon effects can cause changes in yield spreads as maturity lengthens. These effects make it difficult to empirically isolate the default-risk component of the spread for coupon paying bonds. Attempts to calculate zero-coupon risk...

We hypothesize that changes in the technological and regulatory environment result in a more rapid response to marketwide information by small firms. We find that the correlations between small-firm returns and lagged large-firm returns decline over time, which suggests an increase in the...