This paper evaluates a new nonparametric rank test for abnormal security-price performance
in event studies. Simulations with daily security-return data show that the rank test is better …

This paper evaluates a nonparametric sign test for abnormal security price performance in
event studies. The sign test statistic examined here does not require a symmetrical distribution …

… Consequently, standard parametric tests performed well, and the Corrado rank test provided
only slightly more test power with bid-ask spread data. Mucklow (1994) finds the rank test to …

The Black‐Scholes (1973) model frequently misprices deep‐in‐the‐money and deep‐out‐of‐the‐money
options. Practitioners popularly refer to these strike price biases as volatility …

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility
indexes based on the Nasdaq 100 and Standard and Poor's 100 and 500 stock indexes. …

We investigate the effectiveness of several well-known parametric and non-parametric
event study test statistics with security price data from the major Asia-Pacific security markets. …

The Black-Scholes (1973) option pricing model is used to value a wide range of option
contracts. However, the model often inconsistently prices deep in-themoney and deep out-of-the-…

We derive a simple, accurate formula to compute implied standard deviations for options
priced in the classic framework developed by Black and Scholes (1973) and Merton (1973). …

… We use the method suggested by Corrado and Su (1996) to extend the Black–Scholes formula
to account for nonnormal skewness and kurtosis in stock return distributions. This method …

The Black-Scholes (1973) option pricing model is a universal standard among option
valuation models. Despite its widespread popularity, however, the model has some known …