摘要:

AbstractWe analyze changes at the turn of the year in the relative and standardized bid‐ask spreads of New York Stock Exchange stocks before and after the introduction of personal income taxes in 1917. Previous research indicates the return seasonal arose in 1917. Here, we investigate when spread seasonals arose and whether spread changes are cross‐sectionally correlated with the return seasonal. The results indicate that the year‐end selling pressure, which began in 1917, is apparent as downward shifts in the stocks' bid and ask prices rather than as widening spreads. Additional evidence suggests the January return seasonal originated as compensation to specialists, as well as to competing traders, for incurring the costs of providing liquidity during the tax‐induced seasonal trading

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00573.x

年代:1995

数据来源: WILEY

摘要:

AbstractIn this paper we examine the relation between bid‐ask spread and ownership structure variables based on 1985 data for 1,063 NYSE firms. We document a nonpositive relation between bid‐ask spread and insider ownership and conclude that spread is unrelated to insider trading. We also find a robust significantly negative relation between spread and institutional ownership. Finally, we find a positive but generally insignificant relation between spread and blockholdings. Overall, our evidence does not support the predictions of asymmetric information models in markets with anonymous trad

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00574.x

年代:1995

数据来源: WILEY

摘要:

AbstractSimilar to previous studies, we investigate the relation between past and future fund performance. However, we deviate from previous studies by investigating the relation between persistent fund performance and four systematic factors: size, goal, load, and management fee. Results indicate no consistent relation between fund size and persistent fund performance. The existence of a sales charge does not affect persistent fund performance. The goal of a fund does affect persistent fund performance, with high‐risk maximum capital gain funds' demonstrating a strong positive persistence in abnormal returns. In addition, funds with low management fees demonstrate significantly positive persistent fund performance, while funds with high management fees demonstrate significantly negative persistent fund performance. Further research into the relation between persistent fund performance and maximum capital gain funds indicates persistent fund performance in both inferior‐ and superior‐performing funds. However, persistence in funds with low management fees occurs only in funds with superior past perfor

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00575.x

年代:1995

数据来源: WILEY

摘要:

AbstractWe examine long‐run relations implied by covered interest parity (CIP) in possibly cointegrated and nonstationary data series. Empirical evidence suggests that, ignoring market imperfections, CIP failed over January 6, 1984, through December 6, 1991, using weekly data from four major currencies relative to the U.S. dollar. The multivariate maximum likelihood vector autoregressive (VAR) methodology does not require data differencing and hence retains valuable information lost in previous research examining international market flows. Rejections are robust to both subperiod analysis and alternative interest rate series. Although test rejections are highly statistically significant, attainable economic profits appear small. Practitioners will find economic profits inconsequential relative to reasonable bounds on market frictions such as transaction costs. Nonetheless, the use of CIP to determine forward rates identically from interest rates and spot rates in academic studies is called into questio

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00576.x

年代:1995

数据来源: WILEY

摘要:

AbstractTraditional methods of estimating market volatility use daily return observations from a stock index to calculate monthly variance. We break with tradition and estimate stock market volatility using the daily, cross‐sectional standard deviation of returns for all firms trading on the New York Stock Exchange and the American Stock Exchange. We find a significantly positive relation between risk and return. Market volatility is estimated to be about half the volatility level previously reported. The intraday, cross‐sectional market volatility measure provides findings consistent with risk‐return t

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00577.x

年代:1995

数据来源: WILEY

摘要:

AbstractWe examine the reaction of stocks and the response of financial analysts' earnings forecasts to securities recommended as “Stock Highlights” byValue Line Investment Survey.Significant abnormal returns appear around the publication of stock highlights. Stock price responses are relatively efficient and permanent. Using earnings expectation data provided by the Institutional Brokers Estimate System, we find analysts raise their forecasts significantly following Value Line recommendations. Near‐term forecast revisions are significantly related to stock returns at the time of the recommendations. Thus, an explanation for Value Line's security recommendation success is its ability to generate firm‐specific earnings info

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00578.x

年代:1995

数据来源: WILEY

摘要:

AbstractThe literature suggests that the bid‐ask spread is responsible, at least in part, for greater price volatility and more negative autocorrelation at the open than at the close. In this study, we find that these phenomena are not related to the bid‐ask spread, but are related instead to pricing errors by specialists or limit‐order traders around the open. We use George, Kaul, and Nimalendran's (1991) model, which is less biased than Roll's (1984) model, to estimate the implied spread. The results show that, on average, the implied spread earned by liquidity suppliers is lower at the open than at the close. These results refute the contention that specialists exploit their monopoly position and earn a higher profit at the opening call. The evidence is consistent with the hypothesis that specialists set a lower cost of immediacy to encourage trading and the release of more information at the opening call. This could reduce information asymmetry and make subsequent trades in the continuous market more profi

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00579.x

年代:1995

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00580.x

年代:1995

数据来源: WILEY

ISSN:0270-2592    

DOI:10.1111/j.1475-6803.1995.tb00572.x

年代:1995

数据来源: WILEY