This study examines the evolution of transitory volatility over the week for NYSE/AMEX stocks. We treat the block of five trading days during a week as a single trading session and control for disproportionate rates of information arrival over the week by comparing variances of weekly returns...

Institutional ownership affects the sensitivity of stock returns to changes in market liquidity (liquidity risk). Overall, institutional ownership lowers the liquidity risk of stocks. However, different types of institutions affect liquidity risk in opposite ways. Stocks held by hedge funds,...

Using a unique data set of detailed balance sheet information on mutual funds, we find that most mutual funds using derivatives do so to a very limited extent that has little discernable impact on returns. However, there exist two types of funds that make more extensive use of derivatives,...

Using data from the Australian Stock Exchange, the authors assess the information content of an open limit‐order book with a particular focus on the incremental information contained in the limit orders behind the best bid and offer. The authors find that the order book is moderately...

Several recent studies present evidence of investor misreaction in the options market. Although the interpretation of their results is still controversial, the important question of economic significance has not been fully addressed. Here this gap is addressed by formulating regression‐based...

Which market attracts informed investors prior to extreme informational events? We examine the information embedded in the stock and option markets prior to takeover announcements. Normally, buyer-seller initiated stock volume imbalances are predictors of next-day stock returns and option volume...

Probabilistic forecasts play a significant role in a wide variety of economics activities. However, established econometric modeling approaches for probabilistic forecasts may yield unsatisfactory forecasting performance due to model misspecification. In my dissertation, I try to minimize such a...

It is unrealistic to conceive that economic variables or relationships follow a statistical law in which moments or parameters are kept constant over time. The focus of this dissertation is on model specification and testing of time series that are subject to gradual or sudden structural changes...

I discuss three topics in this thesis. The first two concern topics centering on addition to the S&P 500 Index. In chapters two and three, I examine the price and liquidity effects (respectively) of additions to the S&P500 Index from January 1993 to December 2000. The results from chapter two...