We study abnormal returns and volume in the days surrounding takeover speculation by financial media. Significantly positive price and volume responses two days after publication are observed. While most of this effect dissipates shortly thereafter, some excess returns remain impounded into the...

I find that firms which are predicted to transfer among the factor portfolios of Fama and French (1993) exhibit strong and statistically significant short-term variation in stock price and volume. Short-term returns around the cutoff values comprising SMB and HML tend to be temporarily high if...

This dissertation aims to understand the impact that currency movement — in particular U.S. dollar movement — has in determining the returns to individual global equities. To that end, the dissertation focuses on three main goals. First, is to identify the optimal approach for measuring the...