We study the impact of barriers to international capital flows with stock price data from 11 countries whose stock markets feature shares restricted to locals and otherwise identical shares available to foreigners. Large price premiums for unrestricted shares relative to matching restricted...

We study the impact of exchange rate fluctuations and political risk on the risk premiums reflected in cross-sections of individual equity returns from Mexico, a country that has experienced significant monetary and political turbulence. Indicators from Mexico's currency and sovereign debt...

A growing literature contends that, since returns are not normal, higher-order comoments matter to risk-averse investors. Fama and French (1993, 1995) find that nonmarket risk factors based on size and book-to-market ratio are priced by investors. We test the hypothesis that the Fama-French...

This article analyzes the intraday interdependence of order flows and price movements for actively traded NYSE stocks and their Chicago Board Options Exchange (CBOE)-traded options. Stock net trade volume (buyer-initiated volume minus seller-initiated volume) has strong predictive ability for...

We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern—one that declines sharply...

We study the intraday impact of exchange rate news on emerging market American Depositary Receipts (ADRs) and closed-end country funds during the 1994 Mexican peso crisis. Peso exchange-rate changes affect prices and trading volumes of Latin American equities, and some closed-end fund behavior...

The result for the pricing of extendible call and put options is generalized, using the Cox and Ross (1976) approach, to the case of an arbitrary number of extensions. Some typographical errors in the Longstaff (1990) results for the simplest case are corrected.

We derive a simple relationship between the critical stock price and the gamma of the American put. We use this relationship to derive the correct expression for the critical stock price as time to maturity goes to zero and an analytic approximation for the in-the-money American put price. We...