Economic value-added or EVA is a common metric that quantifies the value of the firm. However, recent studies that examine portfolio investment strategies using EVA suggest that portfolios formed with negative EVA earn relatively higher returns compared to some positive EVA firms. This study...

In this study we extend the work of Vijh (1994), Barberis, Shleifer, and Wurgler (2005), Denis, McConnell, Ovtchinnikov and Yu (2003) and Geppert, Ivanov and Karels (2011) by examining the effects of the addition to or deletion from the S&P 500 index on the firm's Fama - French four factor model...

Purpose – The purpose of this paper is to examine the shocks to firm's beta around the event of addition or deletion from the S&P 500 index. Design/methodology/approach – The total derivative of beta and Campbell and Vuolteenaho decomposition of beta methodologies are used, on monthly and...

Purpose – The purpose of this study is to examine whether employee stock ownership plans (ESOPs) add or destroy value from a new perspective by examining the relation of the adoption of ESOP and the company cost of capital. Design/methodology/approach – The capital asset pricing model is...

Although some studies have documented that there is a price increase for firms added to the S&P 500 Index other studies show mixed results. A more recent research suggests that managers are under greater scrutiny once they are added to the S&P500, and work harder to improve firm performance....

Purpose – In this study, the author aims to examine the behavior of QQQ options at the time of the QQQ move from AMEX to NASDAQ on December 1, 2004. The author addresses the questions: is there a relation between hedging and speculation, if such a relation exists considering the improvement in...

This study examines whether Exchange Traded Funds' (ETF) arbitrage which ensures that the ETF closely tracks its underlying index exists on intradaily basis. I document that this arbitrage mechanism does exist and varies across ETFs. DIA and QQQQ have the most dynamic arbitrage activity; whereas...

This study examines the temporal behavior of price discovery in the spot, ETF and futures markets of the DJIA, S&P 500, S&P 400, NASDAQ 100 and Russell 2000. We document an increasing trend in the price discovery metrics of exchange traded funds for all indexes but the DJIA. Contrary to past...

Purpose – The purpose of this study is to extend the work of DeFusco, Ivanov and Karels by examining pricing deviation of DIA, SPY and QQQQ on intradaily basis. Design/methodology/approach – The DIA is designed to be one hundredth of the DJIA, the SPY is designed to be one tenth of the S&P...