Amy Dickinson's research while affiliated with Florida Atlantic University and other places
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Publications (2)
This study examines the presence of contagion effects associated with the failure of First RepublicBank. Banks are segregated on the basis of whether their stock price reactions are likely due to industry-based information effects or contagion effects. Also considered are announcements during the same period of time associated with third world loan...
This study examines call and put option returns from 1983 to 1985 for the presence of a January seasonal effect, a monthly effect, and a day-of-the-week effect. Results indicate the presence of seasonality in call returns, with returns significantly higher in early January and significantly lower on Mondays. Put returns generally exhibit less seaso...
Citations
... 4 Warner (1980, 1985) found that the constant mean-return model performs as well as more sophisticated approaches. 5 In the previous studies (Bruner and Simms, 1987;Rutherford, 1990;Dickinson et al., 1991;Agrawal and Kamakura, 1995), the analysis was conducted using 160 trading days. ...
... O intuito é fortalecer a literatura brasileira sobre opções, com um estudo empírico sobre daytrade comprados e vendidos em situações diversas, fugindo de temas habitualmente explorados como precificação de opções (BLACK e SCHOLES, 1973); bid-ask spreads (MAYHEW, 2002); anomalias ou efeitos sazonais de abertura e fechamento (DICKINSON, 1989), dia da semana (AGGARWAL e RIVOLI, 1989), dia do vencimento (STOLL e WHALEY, 1987), pressão sobre o preço (MYRON SCHOLES, 1972). ...
