This study examines, month-by-month, the empirical relation between abnormal returns and
market value of NYSE and AMEX common stocks. Evidence is provided that daily abnormal …

Several predetermined variables that reflect levels of bond and stock prices appear to predict
returns on common stocks of firms of various sizes, long-term bonds of various default risks…

This study uses a longer time period and additional stocks to further investigate the weekend
effect. We find consistently negative Monday returns (1) for the S & P Composite as early as …

Passive institutional investors are an increasingly important component of US stock
ownership. To examine whether and by which mechanisms passive investors influence firms' …

This article develops a model of the upstairs market where order size, beliefs, and prices
are determined endogenously. We test the model’s predictions using unique data for 5,625 …

Earlier evidence concerning the relation between stock returns and the effects of size and
earnings to price ratio (E/P) is not clear‐cut. This paper re‐examines these two effects with (a) …

A ‘tax-loss selling’ hypothesis has frequently been advanced to explain the ‘January effect’
reported in this issue by Keim. This paper concludes that US tax laws do not unambiguously …

This paper examines the behavior of institutional traders. We use unique data on the equity
transactions of 21 institutions of differing investment styles which provide a detailed account …

This paper analyzes the risks and returns of different types of real estate‐related firms traded
on the New York and American stock exchanges (NYSE and AMEX). We examine the …

This paper examines the magnitude and determinants of transactions costs for a sample of
institutional traders with different investment styles. Using order-level data for recent equity …