Kishore Tandon

• Ph.D.. Univrsity of Pittsburgh
• Baruch College

This paper aims to demonstrate to what extent Australian stock market is correlated with those of 18 frontier markets of five different regions. We also investigate the long-run relationship between these markets. Empirical results of AGDCC GARCH model reveal that the correlations of Australian stock market with those of frontier markets are changi...

Purpose – Prior research on additions to the S&P 500 and the smaller MidCap 400 and SmallCap 600 indexes reach different conclusions regarding the key variables that explain the cross-section of announcement period abnormal returns. Most notable in this regard is that liquidity measures, long thought to be of importance, do not appear to explain ab...

This paper aims to demonstrate to what extent Australian stock market is correlated with those of eighteen frontier markets of five different regions. We also investigate the long-run relationship between these markets. The empirical analysis is carried out on the weekly closing price data of broad market indices of respective stock markets. Empiri...

Option introduction is associated with increased analyst coverage and a generally enhanced information environment for the underlying stocks. We hypothesize that these effects are more significant for Nasdaq than NYSE/Amex stocks because the Nasdaq stocks that are optioned tend to be smaller, traded less, and receive less analyst attention. Consist...

This paper investigates the significance of an intertemporal relation between expected return and risk for the futures markets. The paper not only takes a look at the domestic futures, but the relationship between conditional risk and return is examined in international futures markets as well. We test the significance of a daily risk-return tradeo...

This paper examines the uncertain information hypothesis on one major index and its corresponding exchange-traded fund: the S&P 500 Index and SPDRs in the pre-SPDRs (01/63–12/93) and post-SPDRs (01/94–12/03) periods. Two strategies are used to measure the economic significance of the uncertain information hypothesis. Overall, we present evidence co...

We analyze the impact of regulation and option introduction on the price effects of secondary equity offerings before and after options are introduced on the underlying stocks. After controlling for the implementation of SEC Rules 10b-21 in 1988 and 105 in 1997, we find that option availability is associated with smaller SEO discounts. We conclude...

We analyze the impact of institutional and cultural differences on the likelihood of success in global venture capital (VC) investing. In both developed and emerging economies, we find better legal rights and their enforcement significantly affect the likelihood of VC success. As well, better developed stock markets have a positive influence on VC...

We provide a new test of the informational efficiency of trading in stock options in the context of stock split announcements. These announcements tend to be associated with positive abnormal returns. Our traditional event study results show abnormal returns that are significantly lower for optioned than non-optioned stocks, whether traded on the N...

As implied by Mayhew and Mihov (2004), an ideal control sample of non-optioned stocks used in comparing or contrasting to optioned stocks must consider the liquidity and the volatility of these stocks. Following this and the study by Chan, Jegadeesh, and Lakonishok (1996), we study price and earnings momentum strategies on both optioned stocks and...

This paper tests the cross-sectional robustness of the arbitrage pricing theory (APT) model using foreign exchange rate data to determine if the model is robust with respect to the various random samples and various factor analytic techniques. Factor scores are developed using various samples and factor analytic techniques to explain the returns fo...

This study investigates empirically the relationship between CEO ownership and discretionary investments such as R&D and capital expenditures. We assert that the under-investment problem is high for R&D-intensive projects, while the over-investment problem is high for capital expenditures because of differences in risk between the two types of inve...

This study investigates whether the association between ownership structure and leverage varies with the magnitude of growth opportunities. According to the free cash flow hypothesis, managers receive utility from increasing firm size and the over-investment problem is more severe for firms with fewer growth opportunities. Considering the disciplin...

This paper assesses the intraday price reversal patterns of seven major currency futures contracts traded on the Chicago Mercantile Exchange over 1988-2003 after one-day returns and opening gaps. We observe significant intraday price reversal patterns in five of the seven currency futures contracts, following large price changes. We conduct additio...

This paper examines the effect of the past price information on the two major futures contracts traded on the Tokyo Stock Exchange: the TOPIX futures and the 10-year JGB futures. The unique 90-minute lunch break on the exchange creates two mini-sessions in each calendar-trading day. This paper compares these contracts between the morning and aftern...

We provide a new test of the informational efficiency of trading in stock options in the context of stock split announcements. These announcements tend to be associated with positive abnormal returns. Our traditional event study results show abnormal returns that are significantly lower for optioned than non-optioned stocks, whether traded on the N...

After controlling for market volume trends and differences in volume measurement between the Nasdaq and the exchanges, we find that mean trading volumes increase significantly for Nasdaq stocks that list on the Amex or the NYSE. Furthermore, stocks with low (high) pre-listing volume tend to realize the largest volume increases (decreases) as well a...

In this paper we evaluate market segmentation and its effect on the pricing of cross-listed securities using Indian Global Depositary Receipts (GDRs). When international capital markets are segmented, cross-listed securities may trade at different prices. We test this market segmentation hypothesis using a theoretical and empirical model developed...

This chapter examines the response of stock prices in emerging capital markets to the announcement of events highlighting the opening of capital markets. The announcements analyzed in this research are the private corporate Eurobond offerings and launching of emerging-market country mutual funds. Corporate Eurobond issues in emerging markets are as...

This paper examines shareholder wealth gains for 195 foreign firms that acquired U.S. target firms during 1983–1992. We find that foreign acquirers experience positive and significant abnormal returns of nearly two percent over days (−10, +10) when they acquire targets in the United States; however, U.S. acquiring firms do not gain at all from thei...

This paper documents the impact of the introduction of foreign currency options and options on foreign currency futures on the underlying securities. We find that the volatility of exchange rates decreases following the listing of options for a majority of the currencies under consideration. In addition, we find that trading volume and open interes...

This paper examines five seasonal patterns in stock markets of eighteen countries: the weekend, turn-of-the-month, end-of-December, monthly and Friday-the-thirteenth effects. We find a daily seasonal in nearly all the countries, but a weekend effect in only nine countries. Interestingly, the daily seasonal largely disappears in the 1980s. The last...

This paper examines the impact of the listing of American Depository Receipts (ADRs) on the risk and return of the underlying stocks. We find that the listing of ADRs is associated with positive abnormal returns to the underlying stock on the listing day. In addition, our results suggest that the listing of ADRs are associated with permanent increa...

The research presented here indicates that foreign acquisitions in the United States in the form of mergers, have resulted in abnormal returns to targets of nearly 22 percent, a figure not much higher than in domestic mergers. Sell-off abnormal returns have averaged nearly three percent, substantially higher than the average 0.7 to 1.66 percent in...

This paper presents empirical evidence relating the announcement effects of US money supply and inflation (CPI and PPI) to Eurocurrency interest rates and the foreign currency markets (both spot and forward) for seven industrial countries over the period 1977–1982. The results indicate that unanticipated components of announced changes in money sup...

Pricing models for American call and put options on foreign currency are derived herein. These models are used to investigate the efficiency of the market for foreign currency options. The evidence presented here indicates that market prices for these options deviate substantially from their corresponding model prices. In addition, it is shown that...

Pricing models for American call and put options on futures contracts are derived herein. These models are used to investigate the efficiency of the market for options on Standard & Poor 500 and German Mark futures. The evidence presented here indicates that market prices for these options deviate substantially from their corresponding model prices...

The paper shows that mispriced deposit insurance and capital regulation were of second order importance in determining the capital structure of large U.S. and European banks during 1991 to 2004. Instead, standard cross-sectional determinants of non-financial firms’ leverage carry over to banks, except for banks whose capital ratio is close to the r...

A vast and often confusing economics literature relates competition to investment in innovation. Following Joseph Schumpeter, one view is that monopoly and large scale promote investment in research and development by allowing a firm to capture a larger fraction of its benefits and by providing a more stable platform for a firm to invest in R&D. Ot...

In this paper the lower boundary, excercise price, and put-call parity conditions for foreign currency options are subjected to empirical testing. The tests are directed towards the examination of the hypothesis that the foreign currency option market is efficient. The evidence in the ex-post tests is inconsistent with this hypothesis since a large...

Thesis (Ph. D.)--University of Pittsburgh, 1981. Includes bibliographical references (leaves 240-248).