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ABSTRACT We examine the ex‐dividend day behavior in a unique setting where (1) there are neither taxes on dividends nor on capital gains, (2) stock prices have been decimalized, (3) dividends are distributed annually, and (4) we have data that enable us to examine bid–ask bounce effects. In this...
ABSTRACT The equity risk premium and risk‐free rate puzzles are largely resolved by combining persistent uncertainty over the long‐term consumption growth rate with analysis of the risk‐free asset on a ‘roll‐over’ basis. Under these conditions, cash equivalents are evaluated as a multi‐period...
ABSTRACT Imbedded in liquidity measures is an implicit assumption of symmetry. Although market microstructure models rely on this assumption, there may be directional pressure that creates differences in buy and sell liquidity. This paper develops methods of assessing asymmetric liquidity and...
ABSTRACT Trading is the mechanism of the economist's ‘invisible hand,’ the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence...
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