This paper examines stock market efficiency with respect to money supply data by testing (1) regression models of stock returns on monetary variables and (2) trading rules based on money supply data. The evidence indicates no meaningful lag in the effect of monetary policy on the stock market...

Studies of size and earnings/price ratio effects together have produced contradictory results. Does one effect subsume the other or are there two separate effects? This paper demonstrates that equity returns are related to both size and earnings/price ratio as well as the month of January....

We estimate speeds of adjustment of individual stock prices to private information using daily data. We use a model in which private information gives rise to return variance and private information decays linearly over time. We find that, on average about 85 to 88 percent of private information...

This paper reviews and analyzes five areas relating to closed-end funds. (1) Issues relating to the existence of closed-funds and why rational investors subscribe to new issues of them. A detailed set of model assumptions is examined in order to understand the basis for closed-end funds coming...

Wealth transfers to and from firms occur during unanticipated inflations, depending on the net monetary position of the firms. Debtor firms gain and creditor firms lose. The observed abnormal returns of the firms depend on whether the beta coefficient impounds the sensitivity to the inflation...

We report three new findings that rely upon the high-low price range as an estimate of stock return variance. The predictability of variance is associated with persistence in high prices and with correlated shocks to high and low prices. Excess stock returns are positively related to anticipated...

This paper examines the economic reasons for the observed negative abnormal common stock performance of firms whose reported earnings and stockholders' equity were negatively affected by the proposed elimination of full cost accounting in the oil and gas industry. Four explanations of the market...

This article presents a series of transparent arguments in favor of using gain and loss as return and risk concepts. Gain and loss are widely used in markets where returns are asymmetric, such as betting markets, bond markets, option markets, and insurance. When properly (and intuitively)...

This article raises (but mostly does not answer) several questions concerning insider trading. How important is it? How can it be prosecuted when it has no clear definition? Is anyone harmed by insider trading? If so, who and how? Should insider trading be deregulated? Are there property rights...

This paper provides evidence of a market inefficiency. Between 1942 and 1984, the specialists' short sales ratio has foretold periods of higher and lower returns on the New York Stock Exchange. Average stock returns have been significantly higher after low values of the ratio (marking low short...