We explore the premise that the degree of market efficiency changes dynamically as investment funds face time-varying funding constraints to arbitrage capital. We show that the returns to a composite long-short hedge strategy that encompasses relative value, momentum, short-run reversals, and...

We show that short interest predicts future bad news, negative earnings surprises, and downward revisions in analyst earnings forecasts. Moreover, short interest is a better predictor of changes in firm fundamentals for stocks that are harder to short and short sellers appear to have information...

We examine commodity trading advisors (CTAs) to understand the causes and consequences of the financialization of commodity markets. We find that CTAs can hedge against stock market tail risk and that CTAs with better hedging properties attract more investor flows. Meanwhile, the aggregate CTA...

We examine the long-term stock performance following the initiation and resumption of stock dividends during the period from 1927 to 1998. We show that the post-announcement abnormal returns are significantly positive for equally weighted calendar time portfolios, but become insignificant when...

Early studies find that option introductions tend to raise the price of underlying stocks. More recent research indicates that post-1980 option introductions are associated with negative abnormal returns in underlying stocks. Other studies document increased short-sale activities following...

I examine the effect of option listings on underlying stock prices during 1973 - 1992. In accordance with previous studies, I find that option listings increase stock prices between 1973 and 1980. While some authors attribute this price increase to market completion, I show that this increase is...

We examine debenture yields over the period 1983-91 to evaluate the market's sensitivity to bank-specific risks, and conclude that investors have rationally reflected changes in the government's policy toward absorbing private losses in the event of a bank failure. Although this evidence does...