The purpose of this paper is to investigate the price and volume reactions around stock index revisions. This study uses CAC40 intraday data in the pre and post index revision periods comprised between 1992 and 2001. The impact of index additions or deletions can be interesting from a...

Econometricians often emphasize that the use of a larger information set results in better parameter estimates and stronger hypotheses tests. The use of information on the stochastic behavior of the volatility of asset returns results in the formulation of more powerful parametric tests of the...

The procedures used in corporate bond event studies to date fail to control for heteroskedasticity due to differences in return volatility by term-to-maturity, rating, and other factors resulting in low test power. Bond return standardization yields considerably more powerful tests. Also, due to...

The issue of long memory, though has important theoretical and practical implications, has not received much attention in India. This article examines the issue of long memory in mean of the stock returns by employing a set of sophisticated time-series tests including a bias reduced log...

We document pervasive informed trading activity in equity options before M&A announcements. About 25% of takeovers have positive abnormal volumes. These volume patterns indicate that informed traders are likely using bullish directional strategies for the target and volatility strategies for the...

Lawsuits brought pursuant to section 10(b) of the Securities and Exchange Act depend on the reliability of a statistical tool called an event study to adjudicate issues of reliance, materiality, loss causation, and damages. Although judicial acceptance of the event study technique is pervasive,...

When a significant event occurs at a publicly traded company, federal law requires the firm to disclose this information to investors in a securities filing known as a Form 8-K. But the firm need not disclose immediately; instead, SEC rules give companies four business days after the event...

We have conducted a survey research to measure the perception of the Genevese population regarding the problem of information overload. The sample size is 581. Main findings indicate that information overload is a real concern in Geneva and seems to affect the efficiency of companies. Themes...

This paper employs a regression-discontinuity (RD) design to ascertain the effects of social-democratic government on fiscal policy (budget deficits) and monetary policy (as reflected in inflation) and on currency and bond prices (i.e., exchange rates and yields). The RD design exploits the...

Issues in the construction of corporate bond event studies using bond transaction data are explored. We show that the procedures used in studies to date have relatively low power because they fail to control for the substantial heteroskedasticity in bond returns due to differences in...