• Publications
  • Influence
The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation
We study the price effects of changes to the S&P 500 index and document an asymmetric price response: There is a permanent increase in the price of added firms but no permanent decline for deletedExpand
  • 501
  • 72
Stock Market Openings: Experience of Emerging Economies
This article is an exploratory examination of the benefits and risks associated with opening of stock markets. Specifically, we estimate changes in the level and volatility of stock returns,Expand
  • 559
  • 37
  • PDF
Mergers and Market Power: Evidence from the Airline Industry
This paper examines price changes associated with airline mergers during 1985-88, a period of natural experimentation in which mergers were not contested by the government. The results show thatExpand
  • 610
  • 30
Role of Speculative Short Sales in Price Formation: The Case of the Weekend Effect
We argue that short sellers affect prices in a significant and systematic manner. In particular, we contend that speculative short sales contribute to the weekend effect: The inability to trade overExpand
  • 191
  • 27
Return predictability following large price changes and information releases
Abstract We examine return behavior following large price change events. Unconditional post-event abnormal returns are found to be unimportant. As we condition on other criteria related to theExpand
  • 140
  • 14
The Competitive Impact of Air Crashes: Stock Market Evidence*
We examine stock market reactions to commercial air crashes to test the hypothesis that consumers respond by switching to rival airlines and/or flying less. We focus on the stock price reactions ofExpand
  • 71
  • 8
AIRLINE MERGERS AND MULTIMARKET CONTACT
This paper examines changes in the pricing behavior of airline firms around mergers that occurred during 1985-8. We find that the changes in concentration, a measure of contact within a market, andExpand
  • 67
  • 8
Privatization and Efficiency: Industry Effects of the Sale of British Airways
We analyze the effect of privatization on the performance of British Airways by examining the privatization's impact on airfares and competitors' stock prices. We find that stock prices of U.S.Expand
  • 185
  • 7
  • PDF
Foreign Exchange Exposure of Exporting and Importing Firms
The existing literature reports insignificant 'total' exposure for multinational or exporting firms, where total exposure incorporates both firm specific and macroeconomic effects. We propose aExpand
  • 55
  • 6
  • PDF
The fear of globalizing capital markets
Abstract It is generally accepted that free flow of goods benefits both economies without serious risks. The situation with the free flow of capital is different. Many policy makers and economistsExpand
  • 58
  • 5
  • PDF