This study examines empirically stock market seasonality in major industrialized countries.
Evidence is provided that there are strong seasonalities in the stock market return …

This paper investigates the relation between common stock returns and inflation in twenty‐six
countries for the postwar period. Our results do not support the Fisher Hypothesis, which …

… , Columbia University, and Friend and Gultekin from The Wharton School, University of
Pennsylvania. We owe a great deal to Mustafa N. Gultekin for his generous help in computer …

The paper focuses on two countries, Japan and the US, to test the integration of capital
markets. In Japan, the enactment of the Foreign Exchange and Foreign Trade Control Law in …

… Gultekin also provided invaluable programming help. The errors are mine.Search for
more papers by this author … Gultekin 9 has expanded the above studies for a large …

This paper provides new tests of the arbitrage pricing theory (APT). Test results appear to be
extremely sensitive to the number of securities used in the two stages of the tests of the APT …

This paper shows that the empirical tests of the Arbitrage Pricing Theory (APT) model are very
sensitive to the anomalies observed in January in the stock returns data. There is a strong …

This paper presents empirical results on the accuracy of the Black-Scholes option valuation
model in estimating prices of listed call options as they approach expiration. Beyond over-…

This paper empirically investigates seven duration measures and their role in explaining price
volatility caused by interest rate movements, that is, basis risk. The data analysis does not …

Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for US
Treasury securities during the 1960–1979 period. We find that mean returns on bond portfolios …