It is well known that stock returns, on average, are negative on Mondays. Yet, it is less well known that this finding is substantially the consequence of returns in prior trading sessions. When Friday's return is negative, Monday's return is negative nearly 80 percent of the time with a mean return of −0.61 percent. When Friday's return is positive, the subsequent Monday's mean return is positive, 0.11 percent. This relationship is stronger than for any other pair of trading days and is most acute in small- and medium-size companies. The trading behavior of individual investors appears to be at least one factor contributing to this pattern. Individual investors are more active sellers of stock on Mondays, particularly following bad news in the market.

An emerging literature looking at self-selected, corporate news events concludes that markets appear to underreact to news. Recent theoretical articles have explored why or how underreaction might occur. However, the notion of underreaction is contentious. We revisit this issue by focusing on one of the most simple of corporate transactions, the stock split. Prior studies that report abnormal return drifts subsequent to splits do not appear to be spurious, nor a consequence of misspecified benchmarks. Using recent cases, we report a drift of 9% in the year following a split announcement. We consider fundamental operating performance as a source of the underreaction and find that splitting firms have an unusually low propensity to experience a contraction in future earnings. Further, analysts’ earnings forecasts are comparatively low at the time of the split announcement and revise sluggishly over time. Together these results are consistent with the notion of market underreaction to the information in corporate news events.

An emerging literature looking at self-selected, corporate news events concludes that markets appear to underreact to news. Recent theoretical articles have explored why or how underreaction might occur. However, the notion of underreaction is contentious. We revisit this issue by focusing on one of the most simple of corporate transactions, the stock split. Prior studies that report abnormal return drifts subsequent to splits do not appear to be spurious, nor a consequence of misspecified benchmarks. Using recent cases, we report a drift of 9% in the year following a split announcement. We consider fundamental operating performance as a source of the underreaction and find that splitting firms have an unusually low propensity to experience a contraction in future earnings. Further, analysts' earnings forecasts are comparatively low at the time of the split announcement and revise sluggishly over time. Together these results are consistent with the notion of market under reaction to the information in corporate news events.

Theory posits that when managers anticipate excess capacity, average q becomes a biased estimator of marginal q as the potential for underutilizing new capital reduces the marginal benefit of investing. After correcting for this source of measurement error, the explanatory power of Tobin's q substantially improves in time‐series and cross‐sectional regressions as well as in out‐of‐sample tests. These findings, together with a secular erosion in capacity utilization, help explain why corporate investment rates have been declining for decades despite average q increasing significantly. Our analysis indicates that economic rigidities have contributed to the persistent erosion in capacity utilization.

After firms move trading in their stock to the American or New York Stock Exchanges, stock returns are generally poor. Many of these firms have been public only a short period of time. Moreover, once listed, several firms make seasoned equity offerings. However, the negative post-listing drift is not a manifestation of the new-equity issuance puzzle. Instead, the negative post-listing drift appears to be the result of managers opportunistically choosing when to apply for listing. The barriers posed by initial listing requirements appear to cause some managers to apply for listing prior to a decline in performance. These requirements are more binding in smaller, less widely held stocks, the same stocks for which the drift is most severe. For large, more widely held firms, the post-listing drift is absent. This finding of opportunistic behavior is strikingly similar to the market timing arguments that have been offered to explain the poor performance observed following equity offerings.

After firms move trading in their stock to the American or New York Stock Exchanges, stock returns are generally poor. Although many listing firms issue equity around the time of listing, postlisting performance is not entirely explained by the equity issuance puzzle. Similar to the conclusions regarding other long-run phenomena, poor postlisting performance appears related to managers timing their application for listing. Managers of smaller firms, where initial listing requirements may be more binding, tend to apply for listing before a decline in performance. Poor postlisting performance is not observed in larger firms.

After firms move trading in their stock to the American or New York Stock Exchanges, stock returns are generally poor. Although many listing firms issue equity around the time of listing, post‐listing performance is not entirely explained by the equity issuance puzzle. Similar to the conclusions regarding other long‐run phenomena, poor post‐listing performance appears related to managers timing their application for listing. Managers of smaller firms, where initial listing requirements may be more binding, tend to apply for listing before a decline in performance. Poor post‐listing performance is not observed in larger firms.

We observe significant post-split excess returns of 7.93 percent in the first year and 12.15 percent in the first three years for a sample of 1,275 two-for-one stock splits. These excess returns follow an announcement return of 3.38 percent, indicating that the market underreacts to split announcements. The evidence suggests that splits realign prices to a lower trading range, but managers self-select by conditioning the decision to split on expected future performance. Presplit runup and post-split excess returns are inversely related, indi? cating that our results are not caused by momentum.

We examine long-run firm performance following open market share repurchase announcements, 1980–1990. We find that the average abnormal four-year buy-and-hold return measured after the initial announcement is 12.1%. For ‘value’ stocks, companies more likely to be repurchasing shares because of undervaluation, the average abnormal return is 45.3%. For repurchases announced by ‘glamour’ stocks, where undervaluation is less likely to be an important motive, no positive drift in abnormal returns is observed. Thus, at least with respect to value stocks, the market errs in its initial response and appears to ignore much of the information conveyed through repurchase announcements.

During the 1980s, U.S. firms announcing stock repurchases earned favorable long‐run returns. Recently, concerns have been raised over the robustness of these findings. This concern comes at a time of explosive growth in repurchase programs. Thus, we study new evidence from the 1990s for 1,060 Canadian repurchase programs. Moreover, because of Canadian law, we can carefully track repurchase activity monthly. Similarly to the situation in the United States, the Canadian stock market discounts the information in repurchase announcements, particularly for value stocks. Completion rates in Canada are sensitive to mispricing. Trades also appear linked to price movements; managers buy more shares when prices fall.