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作者：KADAPAKKAM, PR; SETH, S
作者单位：University of Michigan System; University of Michigan; University of Houston System; University of Houston
摘要：We document abnormal trading profits in Dutch auction self-tenders. Tender period profits-buying after announcement and selling just before expiration-are 1.74 percent (Bhagat, Brickley, and Lowenstein (1987) report similar profits for interfirm tenders). Buying just before expiration and tendering yields abnormal profits of 1.36 percent (Lakonishok and Vermaelen (1990) report 9 percent for fixed-price self-tenders using a filter rule). Total profits from buying just after announcement and ten...
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作者：COX, DR; PETERSON, DR
作者单位：University of North Carolina; Appalachian State University; State University System of Florida; Florida State University
摘要：We examine stock returns following large one-day price declines and find that the bid-ask bounce and the degree of market liquidity explain short-term price reversals. Further, we do not find evidence consistent with the overreaction hypothesis. We observe that securities with large one-day price declines perform poorly over an extended time horizon.
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作者：FABOZZI, FJ; MA, CK; BRILEY, JE
作者单位：Massachusetts Institute of Technology (MIT); Texas Tech University System; Texas Tech University
摘要：In this paper, we find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange-closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange-open holidays. This is consistent with positive holiday sentiments. The holiday effect is un...
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作者：LEE, CMC; READY, MJ; SEGUIN, PJ
作者单位：Cornell University; University of Wisconsin System; University of Wisconsin Madison
摘要：Trading halts increase, rather than reduce, both volume and volatility. Volume (volatility) in the first full trading day after a trading halt is 230 percent (50 to 115 percent) higher than following ''pseudohalts'': nonhalt control periods matched on time of day, duration, and absolute net-of-market returns. These results are robust over different halt types and news categories. Higher posthalt volume is observed into the third day while higher posthalt volatility decays within hours. The ext...
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作者：LENCE, SH; HAYES, DJ
摘要：This study shows how the standard portfolio model of futures trading should be modified when there is less than perfect information about the relevant parameters (estimation risk). The standard and the optimal decision rules for futures trading in the presence of estimation risk are compared and discussed. An operational model of futures trading for use under estimation risk is advanced. In the presence of relevant prior and sample information, the model can be used to optimally blend both typ...
