In this paper, we analyze the economic value of predicting index returns as well as volatility. On the basis of fairly simple linear models, estimated recursively, we produce genuine out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data from...

This paper presents evidence of banks using accounting discretion to overstate the value of distressed assets. In particular, we show that the stock market applies far greater discounts to a bank’s real estate loans and mortgage-backed securities than are implicit in the book values of these...

Soccer clubs listed on the London Stock Exchange provide a unique way of testing stock price reactions to different types of news. For each firm, two pieces of information are released on a weekly basis: experts’ expectations about game outcomes through the betting odds, and the game outcomes...

This paper (1) proposes new variables to detect informed high-frequency trading (HFT), (2) shows that HFT can help to predict takeover targets, and (3) shows that HFT in uences target announcement announcement returns. Prior literature suggests that informed trade may occur before takeovers, but...

This paper examines whether the stock market valuation impact of rights issues is consistent with subsequent operating performance of issuing firms. Analysing a sample of rights issues in the Netherlands, we find that a significant stock price decline takes place with the announcement of rights...

This paper studies the impact of explicit deposit insurance on market discipline in a framework that resembles a natural experiment.We improve upon previous studies by exploiting a unique combination of country-specific circumstances, design features, and data availability that allows us to...

Abstract: U.K. company insiders, such as directors, were legally allowed to trade in the shares of their own companies up until the Companies Act of 1980. We investigate the trading behaviour of directors over the period 1893 to 1907 in the U.K. Although insider trading was profitable, we find...

We examine the e¤ects of dividend policies on 469 British firms between 1895 and 1905. These firms operated in an environment of very low taxation and an absence of institutional constraints. We find strong support for asymmetric information/signaling theories of dividend policy, and little...

We examine the wealth effects associated with the announcements of convertible debt offerings in the Canadian market for the period between 1991 and 2004.The average wealth effect for the three day event window is a significantly negative -2.7%.This result is in line with previous studies on...