Quarterly Journal of Business and Economics articles from January 2000

Quarterly Journal of Business and Economics archives from January 2000

EDITORIAL POLICY.(Brief Article)
January 1, 2000... There is a neglected body of research involving tests of the validity of theories methodologies, and data used in previously published studies. There is also a need for more articles that synthesize the literature on important topics,...

Testing for Segmentation in the Term Structure: Operation Twist Revisited.
January 1, 2000... While the expectations hypothesis has been investigated extensively in a score of studies, the segmentation hypothesis remains largely unexplored. Using the recent inference procedures in cointegration analysis, this paper investigates the...

Re-released Information in The Wall Street Journal's 'Insider Trading Spotlight' Column.
January 1, 2000... Eurico J. Ferreira [*] This paper uncovers a market response to re-release of previously announced public information. This condition represents a violation of a semi-strong form of the efficient markets hypothesis. Common stocks of...

An Examination of the Lead/Lag Relationship Between the Option Market and the Stock Market: Where Do We Stand?
January 1, 2000... This paper examines cross-market efficiency as it relates to the lead/lag relationship between the option market and the stock market. Our study shows that neither market leads the other consistently over time. Instead, differences in sample...

On the Gompertz Process and New Product Sales: Some Further Results from Cointegration Analysis.
January 1, 2000... Ali F. Darrat [*] This paper reevaluates Franses'(1994) recent cointegration and error-correction analysis of the Gompertz process for new product sales. I find that Franses results in support of the Gompertz process and its implied...

The Impact of the Day of the Week on IPO Return Autocorrelation and Cross- Correlation.
January 1, 2000... Two anomalies that generate continuing interest are the weekend effect and the underperformnance of IPOs. Perfect and Peterson (1997) find that IPO returns are negative only on Monday and Tuesday, suggesting a related explanation for these two...