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We examine tick sizes, stock prices, and share turnover in eighteen stock markets in developed countries and find that differences in mandatory tick sizes explain a significant proportion of the variation in stock prices among markets, and that lower percentage tick sizes are not associated with higher turnover. We consider the implications of these findings for the recent decimalization of stock trading in the United States, and conclude that decimal trading is likely to result in lower stock prices (due to stock splits) with no substantial change in dollar trading volume.

The purpose of this paper is to determine the extent to which outliers have persisted in augmenting the Halloween effect over time and to offer an econometric test of seasonality in return skewness that might provide a partial explanation for the Halloween effect.

The authors split the Morgan Stanley Capital International data for 37 countries into two subperiods and, using median regression and influence vectors, examine these periods for a possible change in the interplay between outliers and the Halloween effect. The authors perform a statistical assessment of whether outliers are a significant contributor to the overall Halloween effect using a bootstrap test of seasonal differences in return skewness.

Large returns (positive and negative) persist in being generally favorable to the Halloween effect in most countries. The authors find seasonality in return skewness to be statistically significant in many countries. Returns over the May through October timeframe are negatively skewed relative to returns over the November through April period.

This paper offers the first statistical test of seasonality in return skewness in the context of the Halloween effect. The authors show the Halloween effect to be a more complex phenomenon than the simple seasonality in mean returns documented in prior research.

The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects.

The authors suggest the use of an F‐test to examine mean stationarity of asset pricing effects across subperiods. The superiority of this test is demonstrated through examination of the Halloween Effect using simulated data and the Morgan Stanley Capital International (MSCI) data for 18 developed economies.

It is found that the suggested F‐test provides results superior to a simple examination of the magnitude and statistical significance of estimated regression coefficients across subperiods when attempting to determine mean stationarity.

This paper sheds light on an analytical oversight in the asset pricing anomalies literature and suggests an appropriate test to address this oversight.

In the discussion groups subjects will be taken up which are not dealt with in the lectures. The subjects to be taken up in the discussion groups of each week and the assignments relating thereto will be announced well in advance of the meetings.

Research on perceptions of organizational politics has mostly explored the negative aspects and detrimental outcomes for organizations and employees. Responding to recent calls in the literature for a more balanced treatment, we expand on how positive and negative organizational politics perceptions are perceived as stressors and affect employee outcomes through their influence on the social environment. We propose that employees appraise positive and negative organization politics perceptions as either challenge or hindrance stressors, to which they respond with engagement and disengagement as problem-focused and emotion-focused coping strategies. Specifically, employees who appraise the negative politics perceptions as a hindrance, use both problem- and emotion-focused coping, which entails one of three strategies: (1) decreasing their engagement, (2) narrowing the focus of their engagement, or (3) disengaging. Although these strategies result in negative outcomes for the organization, employees’ coping leads to their positive well-being. In contrast, employees appraising positive politics perceptions as a challenge stressor use problem-focused coping, which involves increasing their engagement to reap the perceived benefits of a positive political environment. Yet, positive politics perceptions may also be appraised as a hindrance stressor in certain situations, and, therefore lead employees to apply emotion-focused coping wherein they use a disengagement strategy. By disengaging, they deal with the negative effects of politics perceptions, resulting in positive well-being. Thus, our framework suggests an unexpected twist to the stress process of politics perceptions as a strain-provoking component of employee work environments.

The purpose of this paper is to report research testing scales developed from a combination of vested interest (VI) theory and the extended parallel process model of fear appeals. The scales were created to measure variables specified by an expanded model of VI: certainty, salience, immediacy, self-efficacy, response-efficacy, and susceptibility.

A survey was designed with subscales for each element and combined with additional disaster and risk perception variables. Survey data were collected from two populations in the US state of Oklahoma. Results from scale development and regression analyses are reported.

Results show that the scales are robust and flexible to contextual modification. The scales return good to excellent reliabilities, providing evidence that the variables articulated by VI theory predict perceived salience and perceived preparedness.

This study adds to the research pointing to the efficacy of VI theory in providing insight into the perceptual barriers to preparedness. These results demonstrate that perceived vestedness can be a valuable tool in crafting messages to inform audiences of risks and motivate them to prepare.

These results can facilitate the creation of more effective hazard and risk messages. Related research shows households that are prepared for natural and manmade hazards enjoy higher rates of survivability and lower levels of consequences.

This paper presents new results concerning perceived vestedness and the utility of the scales. The research should be of value to practitioners and policymakers concerned with motivating public audiences to prepare for natural and manmade hazards.