Salil Sarkar

• The University of Texas at Arlington

Abstract We explore how the US presidential effect in stock returns is connected to the US presidential effect in foreign exchange returns to the US dollar. Our results for the 1973–2016 period show that the existence of a presidential effect in stock returns depends on how a firm’s stock returns are associated with changes in the value of the US d...

This paper uses an exogenous change in accounting regulations to test the extent to which previously documented associations between stock repurchases and equity compensation practices are driven by the transitory regulatory environment rather than fundamental economic motivations. We show that the pre-SFAS 123R positive association between repurch...

We explore how the US presidential effect in stock prices is connected to the US presidential effect in foreign exchange returns to the US dollar. Our results show that the existence of a presidential effect in stock returns depends on how a firm's stock returns are associated with changes in the value of the US dollar. We document that a complex a...

The authors provide evidence that equity traders who miss or ignore signals from the options market have an increased disposition to hold their loser positions following earnings announcements. Postearnings equity returns that (do not) align with pre-earnings options market signals are fast (slow) to return to ordinary levels. We attribute this to...

We examine the association between the foreign exchange rate of the US dollar and US presidential cycles. Results show that Republican presidencies tend to start with a strong dollar, which then depreciates over the course of the presidency. In contrast, Democratic presidencies tend to begin with a weak dollar that then appreciates. A portfolio ana...

We find that in contrast to the stock market, which performs better during Democratic presidencies, “sin” stocks—publicly traded producers of tobacco, alcohol, and gaming¬—perform better during Republican presidencies and even more so when the Republican presidency is accompanied by a Republican majority in at least one chamber of Congress. We exam...

We find that an investor can earn abnormal profits in the long-run using Forbes Platinum list of the 400 best big companies. Our trading strategy is based on results of an event study. When using the four-factor model of Carhart (1997), our results show that buying and holding the ten lowest ranked companies in a portfolio for 36 months post-public...

This study extends the literature on the information content of stock message boards. To better understand the effect of online postings on trading activities and reduce the error due to stocks with small message board followings, we examine stocks with no fundamental news and high message posting activity. Such stocks tend to be of small firms wit...

This study explores the evolution of option implied volatilities for all stocks with exchange traded options from 2000 to 2008. Two explanatory variables are tested. The first is the evolution of the implied volatility of the "market portfolio" (S&P 500), measured by the VIX. This model is referred to as the Implied Volatility Asset Pricing Model (...

Purpose The purpose of this paper is to examine stocks that are most actively discussed by online posters and see if the messages posted about these stocks have information or if they are just noise. Design/methodology/approach This study uses messages posted on TheLion.com, which reports a real time list of the ten most actively discussed stocks....

This study investigates information flows between fund share prices and NAVs of 40 closed-end single country funds, compares behaviors between emerging and developed market funds, and evaluates the impact of the Asian financial market crisis on the relationships. Findings include: (1) For emerging markets, price returns bear most of the long-term a...

This study investigates announcement effects at four points in the Food and Drug Administration (FDA) review process and explores conditions that may impact final approval. We show that investors adjust expectations through the approval process, and most uncertainty is resolved by final approval. While smaller firms reap benefit from the approval,...

This study investigates the impact on foreign exchange market efficiency of the 1992 European financial market crisis by studying precrisis, crisis, and postcrisis periods. Long-term relationships among European currency values are identified during the three periods, although the relationships are not stable during the precrisis and the postcrisis...

This study analyzes empirical evidence related to changes in market value and liquidity characteristics of stocks, which are delisted from the National Market System (NMS) due to an elevation of NMS listing standards. Our results are thus relatively independent of the financial conditions of the firms prior to delisting. We document significant inc...

We argue that increased leverage, lower litigation risk, and reduced trading costs in the options market result in lower incentives for informed market participants to trade in stocks that have options listed than in stocks without traded options. We also hypothesize that the underlying market for optioned stocks is informationally more efficient t...

Stock index futures contracts (SIFCs) were developed in part to allow equity investors to conveniently hedge portfolio risks. Therefore, we may expect to observe smaller bid/ask spreads among NASDAQ equities following the introduction of trading in SIFCs. The potential transactions cost reduction results from the enhanced ability of dealers to hedg...

This paper examines the impact of articles in regional Wall Street Journal publications on stock prices. These regional publications include Texas Jour nal, Florida Journal, Southeast Journal, Wall Street Journal/California, and New England Journal. Results indicate that articles in regional publications have a statistically significant impact on s...

A comparison is made between the bid-ask spreads of 30 high volume German stocks traded on IBIS and 30 high volume US stocks traded on Nasdaq. IBIS and Nasdaq are best described as agency and dealer auction markets, respectively. On average, the market spread for these IBIS and Nasdaq stocks is the same, but for the 10 most active stocks in each ma...

Prior research indicates that there are gains from real estate asset restructurings (see Glascock, Davidson and Sirmans [1989], Owers and Rogers [1986], and Elayan and Young [1993]). Researchers in these studies use the ordinary least squares market model to estimate expected returns, thus assuming that the error terms are normally distributed. How...

We examine the wealth effects of the passage of the Community Reinvestment Act (CRA) of 1977 for commercial banks and savings and loan associations. we find significantly negative average excess returns for small NYSE/AMEX banks and S&Ls to certain events concerned with the passage of the CRA; in contrast, there is no evidence that large NYSE/AMEX...

This article re-examines the now generally accepted notion that sell-offs of real estate assets provide positive returns for sellers but not for buyers. Following previous research, we use event study methods but we modify the conventional market model to permit its residuals (unexpected returns) to be described by a time-varying conditional varian...

The Black Scholes option pricing model has been put to extensive application both in research and in actual market place. However, the inputs for the model are generally obtained from the stock market which is considered less efficient than the options market. This leads to a difference in calculated price and observed price. This paper studies the...

Electronic calculations are becoming an indispensable tool for financial practitioners. Several textbooks recommend the use of calculators in finance classes. However, the variety of forms and sizes make it a problem to pick the right choice for a practitioner. Some recent articles have discussed the use of financial calculators and others have att...

Past research into the evolution of Finnish stock returns focuses on modeling linear and nonlinear dependence using various ARIMA and GARCH formulations, respectively. This paper extends the extant work by using Grassberger-Procaccia correlations dimensions to explore the nature of the nonlinear dynamics in daily Finnish stock returns during the 19...

Abstract We investigate the market response to the firm stock option re-pricing event. By employing event study, we observe a simultaneous, significant down-U shaped curve and up-U shaped curve during the event window,for cumulative abnormal trading volume and cumulative abnormal return, respectively. We hypothesize a highly diverse market opinion...