Long-term reversals in U.S. stock returns are better explained as the rational reactions of investors to locked-in capital gains than an irrational overreaction to news. Predictors of returns based on the overreaction hypothesis have no power, while those that measure locked-in capital gains do,...

We compare the volatility of 24-hour returns computed from the opening and closing prices of a diverse sample of Tokyo Stock Exchange (TSE) stocks. We find that volatility at the open is greater than volatility at the close <italic>only</italic> for the most actively traded TSE stocks. Daytime and overnight...

This paper examines the cross-sectional distribution of bid-ask spreads in the S&P 100 index options market. Cross-sectional differences in bid-ask spreads are found to be directly related to differences in market-making costs and trading activity across options. We also examine the relation of...