Transaction costs are important for a host of empirical analyses from market efficiency to
international market research. But transaction costs estimates are not always available, or …

This paper presents and tests a hypothesis that the standardization of payments in the United
States at the turn of each calendar month generally induces a surge in stock returns at the …

A contingent claims model for corporate bonds is tested on newly issued bonds of firms with
very simple capital structures. Two default risk measures derived from the model — firm …

This paper presents evidence for the period 7/62‐12/89 that individual NYSE and AMEX
stocks provide relatively high average excess returns on the payment dates of quarterly cash …

We argue that in an initial public offering (IPO), pre-IPO owners make decisions regarding
underpricing, share retention, and share lockup simultaneously and optimally to maximize …

This paper argues that an aggregate preferred habitat for investors exists on (or about) the
last day of the calendar month, due to standardizations in the nation's payments system …

Results of empirical studies of the trade-off theory of capital structure indicate that an important,
stable factor is missing from traditional leverage regression models. Our review of theory …

In this paper we show that George et al. (GKN, 1991) estimators of the adverse selection and
order processing cost components of the bid‐ask spread are biased due to intertemporal …

Using samples of US firms, we examine the efficacy of six risk‐proxy variables to forecast 5‐year
failure: year‐end t‐values of stock return volatility, firm size, recent profitability, market …

This paper documents, for 1947–2000, seasonalities in economic activity, stock and bond
returns, and relationships among them. Evidence is consistent with an annual cycle view of …