Cross-sectional and time-series tests using mimicking portfolios are used to assess the exactness of the APT with(out) a residual market factor. The first factor seems to be sufficient to span the efficient set, whether the model is estimated using (un)conditional variance-co-variance matrices...

The dynamic betas for ten Canadian sector portfolios using the Kalman filter approach are estimated herein and are found to be best described by a mix of the random walk (trend) and mean-reverting (cycle) processes. The relative importance of the trend and cycle components of sector betas is...

Microstructure effects of tender offer acquisitions on targets and acquirers differentiated by listing venue and payment method are examined. Trading activity increases more for targets than for acquirers upon offer announcement. Investors are more likely to sell targets upon announcement using...

The accuracy of five algorithms for classifying trades as buyer- or seller-initiated is assessed for BIST-30 index constituents over a period including the Lehman collapse. The highest classification accuracy rate (over 95%) is for the one-second lagged Lee & Ready (LR) algorithm. The LR's...

Purpose - The purpose of this paper is to assess the market impact of announcements that publicly traded limited liability firms would convert to business income trusts, and to test the robustness of the tax motive as the primary determinant of any conversion announcement effects by estimating...

This paper investigates the price discovery process around exchange-initiated trading halts using thirty minute trade intervals on the Montreal Exchange. Trading halt price discovery, and regulatory and specialist effectiveness differ over the three time periods studied. Volatility and measures...