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Research Interests:
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Research Interests:
Research Interests:
Research Interests:
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The empirical literature on stock returns shows overwhelming evidence of stock anomalies related to value investing. This paper studies the relative performance of stock options of value and growth stocks. This yields insight into... more
The empirical literature on stock returns shows overwhelming evidence of stock anomalies related to value investing. This paper studies the relative performance of stock options of value and growth stocks. This yields insight into different strategies in attempting to hedge some of these types of stocks.Monthly option returns are examined from 1995 to 2004. The returns of calls and puts are analyzed with a corresponding discussion of other strategies directly linked to these results. In particular, evidence is found that the option returns on some growth stocks and the option returns on some value stocks outperform the average option return for puts deep out of the money. For puts deep in the money, buying puts for the most extreme decile of value stocks is significantly less expensive than other deciles. For value stocks deep out of the money call options had significantly higher returns (20%) than growth stocks(negative option returns). For both puts and calls across the value and...
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We examine the impact of nine third generation state antitakeover laws on stock returns. At conventional levels of significance, six of the nine types of laws appear to have statistically significant negative CARs' surrounding the... more
We examine the impact of nine third generation state antitakeover laws on stock returns. At conventional levels of significance, six of the nine types of laws appear to have statistically significant negative CARs' surrounding the passage date, for firms without prior antitakeover charter amendments. However, these results are not supported using a Bonferroni analysis. Contrary to Karpoff and Malatesta (1989) we, also, test for support for the shareholder interest hypothesis by comparing firms with and without golden parachutes. At conventional significance levels, four of the nine laws had significant differences in returns between firms with and firms without golden parachutes. Again, the Bonferroni analysis rejects any significant differences in returns. Previous papers studying antitakeover legislation did not examine many laws or they did not control for the number of event windows. CARs may appear significant at conventional levels; however, after controlling for the numbe...
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Research Interests:
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Research Interests:
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We examine the impact of nine third generation state antitakeover laws on stock returns. At conventional levels of significance, six of the nine types of laws appear to have statistically significant negative CARs' surrounding the... more
We examine the impact of nine third generation state antitakeover laws on stock returns. At conventional levels of significance, six of the nine types of laws appear to have statistically significant negative CARs' surrounding the passage date, for firms without prior antitakeover charter amendments. However, these results are not supported using a Bonferroni analysis. Contrary to Karpoff and Malatesta (1989) we, also, test for support for the shareholder interest hypothesis by comparing firms with and without golden parachutes. At conventional significance levels, four of the nine laws had significant differences in returns between firms with and firms without golden parachutes. Again, the Bonferroni analysis rejects any significant differences in returns. Previous papers studying antitakeover legislation did not examine many laws or they did not control for the number of event windows. CARs may appear significant at conventional levels; however, after controlling for the numbe...
This paper examines differences in the trading patterns of institutions. Investee firms with different levels and types of institutions are also examined. A method is developed to categorize institutions as active or inactive. Changes in... more
This paper examines differences in the trading patterns of institutions. Investee firms with different levels and types of institutions are also examined. A method is developed to categorize institutions as active or inactive. Changes in the level of information, changes in the CAR response, changes in the type of earnings surprise and changes in trading volume are examined to detect differences across institutional types. Significant differences in CAR responses are observed between active and inactive traders, even after controlling for information surprises. In addition, the type of earnings surprise, good news versus bad news, results in differences in trading patterns across different types of institutional investors. Differences in trading volume and the timing of trading volumes are documented, as well. Active institutions tend to hold prior to good news disclosures, but no such evidence is reported for bad news disclosures. Inactive institutions do not exchange shares at sam...
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This paper examines the firm's opting out decision and the impact of the 1990 Pennsylvania Antitakeover Law on the stock prices of 123 firms. The results indicate that on average Pennsylvania stock returns decreased by 9 percent from... more
This paper examines the firm's opting out decision and the impact of the 1990 Pennsylvania Antitakeover Law on the stock prices of 123 firms. The results indicate that on average Pennsylvania stock returns decreased by 9 percent from introduction to passage. A comparison indicates that firms that opted out had CARs 18 percentage points higher than firms that chose not to opt out. The event study methodology may not be appropriate because investors may anticipate the passage of legislation and because there may be multiple events. Intervention analysis, an econometric technique not previously used in this area, is applied and the results support the agency cost hypothesis. A logit model is implemented to find the sources of the losses and gains and to study why firms choose to opt out. In this model, firms are controlled for antitakeover amendments, takeover activity, insider holdings, large noninsider holdings, size, and industry. Firms with a proxy for lower agency costs were ...