THE ECONOMIC EFFECTS OF capital gains taxation have been the subject of considerable
discussion. Most authors have concluded that the current system of capital gains taxation …

We examine the behavior of common stock prices after a large change in price occurs during
a single trading day and find evidence that the stock market appears to have overreacted, …

Trading volume for common stocks is of interest to financial economists, investors, and
securities lawyers. NASDAQ is a dealer market where trades with dealers are included in …

We examine the accuracy of various estimates of firms' repurchases of common stock used
in earlier studies, and find high error rates in the most commonly used estimators. We also …

This paper finds a relationship between management compensation and corporate control
consistent with the hypothesis that in closely held companies major shareholders engage in …

Amihud and Mendelson (1986) and Constantinides (1986) provide a theoretical basis for
the proposition that assets with higher transactions costs are held by investors for longer …

We document substantial variation in the prices of common stocks in US markets due to firms
selecting particular price ranges for their shares. Cross‐sectional evidence indicates that …

We hypothesize that the initiation of cash dividends indicates that a firm's earnings and cash
flows have become fundamentally less risky. We present evidence to support this hypothesis…

Historically, trading volume reported for NASDAQ stocks has been overstated vis‐à‐vis New
York Stock Exchange (NYSE) stocks, both because of the dealer's participation in trades as …

Assuming that individual investors account for most odd-lot transactions, we examine oddlot
purchases and sales around the turn of the year and find a pattern that is related to the well-…