This article examines the ability of the normal distribution to model the log price returns from
the S& P 500 Composite Index. There are three main contributions of this paper. First, a …

This study examines the effects of managerial social capital on investment sensitivity to
cash flow and Q. Using a large cross-country sample of companies for the period 1999–2012 …

Evidence of weekend effects on the distribution of security returns suggests that returns are
generated by a process operating closer to trading time rather than calendar time. In contrast, …

A distinctive trend in the capital markets over the past two decades is the rise in equity ownership
of passive financial institutions. We propose that this rise has a negative effect on price …

Among the factors influencing investment performance measurement is the weight dedicated
to each security. This paper develops metrics for measuring the extent of equal weighting …

While company stock ownership can encourage wealth-maximizing behavior among managers,
we argue that ownership allows entrenchment of managers who own a large enough …

Stock return volatility tends to increase significantly following stock splits. One potential cause
of this is the trading of stocks in discrete price intervals called ticks. This study provides a …

This article examines causes of observed stock trading patterns that show high hourly returns
and trading volume during early and late trading hours. Using time-stamped data from an …

We apply an option‐pricing framework to the ex‐dividend behavior of common stocks. The
framework explains the observed behavior of positive returns on the ex‐dividend day and …

Mexico has long been known for its unequal distribution of income and wealth. Although
several academic studies imply a tendency in the Mexican economy toward increasing …