Best Paper - Volume 5

The JFI editors are pleased to announce that the JFI Best Paper Prize for the most significant paper published in the 1996 Journal of Financial Intermediation has gone to Margaret Forster and Thomas George for their paper, "Pricing Errors at the NYSE Open and Close," published in Volume 5, Issue 2. The prize carries with it a $2,500 check for the winners.

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Pricing Errors at the NYSE Open and Close:
Evidence from Internationally Cross-Listed Stocks
Margaret M. Forster
Wanger Asset Management, Chicago, Illinois
AND
Thomas J. George
College of Business Administration, University of Iowa, Iowa City, Iowa 52242

Abstract

The variances of pricing errors (transitory changes in prices) at the NYSE open and the close are analyzed for U.S. stocks that are traded in London or Tokyo, British and Japanese stocks that are listed on the NYSE, and U.S. stocks that are not traded abroad. The variance of pricing errors is significantly greater at the open than at the close for U.S. stocks, but not foreign stocks. These differences are explained by differences in order flow at the open and the close, a relation that is the same whether stocks are foreign or domestic and whether they trade abroad or not. Journal of Economic Literature Classification Numbers: G10, D23. ©1996 Academic Press, Inc.