Our model allows examination of dependence in volatility as it captures time variation in volatility and cross-market influences. Estimated time variation in volatility is significant and the volatilities are highly positively correlated. Yet, we find that the correlation in North American index and futures markets has declined over time. Forthcoming Spring 2000. As predicted by the asymmetric information models, we find that larger and more aggressive orders are more informative.
Private information is more important for infrequently traded stocks.
The correlation between a relative measure of informativeness and the spread provides further support for the previous empirical observation that these two variables measure different things and should not be used interchangeably. Forthcoming Spring 2000. We examine the long-run stock price and operating performance of companies that withdraw seasoned equity offerings. Firms that withdraw an offering provide an opportunity to examine whether markets fully adjust to the information conveyed when managers announce the intent to issue shares, independent of any agency problems that might be intensified by the completion of the offering. Results are consistent with overpricing among small firms that attempt, but then withdraw, SEOs.