Do price discreteness and transactions costs affect stock returns? Comparing ex-dividend pricing before and after decimalization

Article Abstract:

Research on the New York Stock Exchange shows a rise in abnormal ex-dividend day returns during the 1/16th and decimal stock price quotation eras compared to the 1/8th era. This finding is not consistent with microstructure ex-day price movement explanations. Implications are discussed.

Comparative analysis, Return on investment, Rate of return

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Cross-border listings and price discovery: evidence from U.S.-listed Canadian stocks

Article Abstract:

Price adjustments of 62 Canadian stocks listed on the New York Stock Exchange, Toronto Stock Exchange, American Stock Exchange and Nasdaq Stock Market are examined.

Canada, Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Listing & Registration, Stock-exchange, Stock exchanges, Securities listing, Toronto Stock Exchange, American Stock Exchange L.L.C.

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The impact of jumps in volatility and returns

Article Abstract:

An analysis of stochastic volatility models is provided.

Models, Prices and rates, Stocks

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