An investigation of market microstructure impacts on event study returns

Article Abstract:

We investigate the importance of bid-ask spread-induced biases on event date returns as exemplified by seasoned equity offerings by NYSE listed firms. We document significant negative return biases on the offering day which explain a large portion of the negative event date return documented in the literature. Buy-sell order flow imbalance is prominent around the offering and induces a relatively large spread bias. If order imbalances are suspected, the researcher can use returns calculated from the midpoint of the closing bid and ask quotes instead of returns calculated from closing transaction prices to avoid this return bias. (Reprinted by permission of the publisher.)

Return on investment, Arbitrage, Rate of return, Tender offers (Securities), Tender offers

---

New findings regarding day-of-the-week returns over trading and non-trading periods: a note

Article Abstract:

New results about the day-of-the-week effect, or the average return for Monday being negative, are documented. This study distinguishes between trading day and non-trading day returns, and shows that all of the average negative Monday effect for stock market indexes documented by others is contained in the average Friday close to Monday open return. The Monday effect and the non-trading weekend effect are related to the January effect, and it is revealed that the Monday effect and the non-trading effect are on average positive in January and on average negative for the rest of the year. Evidence is presented that links this Monday-January effect to firm size.

Security and commodity exchanges

---

Government bond returns, measurement of interest rate risk, and the arbitrage pricing theory

Article Abstract:

Using monthly data on U.S. Treasury securities between 1960 and 1979, Ross's arbitrage pricing theory is tested empirically, with it shown that the mean returns on bond portfolios are linearly related to at least two factor loadings. The results of multivariate tests are not consistent with the arbitrage pricing theory, and the sample data on U.S. Treasury securities is shown not to be consistent with the capital assets pricing model. Also shown are comparisons of one-month-ahead forecasts of excess returns using factor-generating models and their corresponding naive predictions or predictions using the 'market model' with different market portfolios.

Finance, taxation, & monetary policy, Models, Economic aspects, Risk (Economics), Interest rates, Securities, Government securities, Capital assets pricing model, Capital asset pricing model, United States. Department of the Treasury

Similar abstracts:

• Abstracts: The seasonal stability of the factor structure of stock returns. On testing the Arbitrage Pricing Theory: inter-battery factor analysis
• Abstracts: A risk minimizing strategy for portfolio immunization. Risk management with derivatives by dealers and market quality in government bond markets

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.