This paper examines the stock market performance of a large sample of new issues (IPOs and SEOs) following an extreme price movement during the first three years after the offering. Strong underperformance follows either a positive or negative (at least +/ 15%) one day return event. This poor...

In the 1980s, the average first-day return on initial public offerings (IPOs) was 7%. The average first-day return doubled to almost 15% during 1990-1998, before jumping to 65% during the internet bubble years of 1999-2000. Part of the increase can be attributed to changes in the risk...

We document by several methods that trading in Nasdaq stocks islocalized. The first evidence of localized trading is that the time zone of a company's headquarters affects intraday trading patterns in its stock. Stocks of west coast firms have lower volume early in the trading day than east...

Defenders of market efficiency argue that anomalies involving long-term abnormal returns are not robust to alternative methodologies. We argue that because various methodologies use different weighting schemes, the magnitude of abnormal returns should differ, and in a predictable manner. Three...

Companies issuing stock during 1970 1990, whether an initial public offering (IPO) or a seasoned equity offering (SEO), have been poor long run investments for investors. During the five years after the issue, investors have received average returns of only 5% per year for companies going public...

Recent studies have documented that firms conducting seasoned equity offerings have inordinately low stock returns during the five years after the offering, following a sharp run-up in the year prior to the offering. This paper documents that the operating performance of issuing firms shows...

Fama and French (1992) report that size and the book-to- market ratio capture the cross-sectional variation of average stock returns for the universe of NYSE, Amex, and Nasdaq securities. This paper, in providing an exhaustive exploration of book-to-market across the dimensions of firm size,...

Using 947 acquisitions during 1970-1989, this paper finds a relationship between the post-acquisition returns and the mode of acquisition and form of payment. During a five-year period following the acquisition, on average, firms that complete stock mergers earn significantly negative excess...

We explore the relation between investor uncertainty, divergence of opinion, and the performance of initial public offerings (IPOs). We examine three opening-day proxies: the percentage opening spread, time of first trade, and flipping ratio. After controlling for issue quality, we find that all...

Our paper examines the impact of geographic location on liquidity for U.S. rural- and urban-based companies. Even after adjusting for size and other factors, rural firms trade much less, are covered by fewer analysts, and are owned by fewer institutions than urban firms. Trading costs are higher...