摘要:

ABSTRACTTwo easily measured variables, size and book‐to‐market equity, combine to capture the cross‐sectional variation in average stock returns associated with market β, size, leverage, book‐to‐market equity, and earnings‐price ratios. Moreover, when the tests allow for variation in β that is unrelated to size, the relation between market β and average return is flat, even when β is the only expla

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04398.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTThe paper first characterizes the predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressions (VARs) demonstrate one‐step‐ahead predictability and facilitate calculations of implied long‐horizon statistics, such as variance ratios. Estimation of latent variable models then subjects the VARs to constraints derived from dynamic asset pricing theories. Examination of volatility bounds on intertemporal marginal rates of substitution provides summary statistics that quantify the challenge facing dynamic asset pricing m

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04399.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTMost of the evidence on consumption‐based asset pricing is based on seasonally adjusted consumption data. The consumption‐based models have not worked well for explaining asset returns, but with seasonally adjusted data there are reasons to expect spurious rejections of the models. This paper examines asset pricing models using not seasonally adjusted aggregate consumption data. We find evidence against models with time‐separable preferences, even when the models incorporate seasonality and allow seasonal heteroskedasticity. A model that uses not seasonally adjusted consumption data and nonseparable preferences with seasonal effects works better according to several criteria. The parameter estimates imply a form of seasonal habit persistence in aggregate consumption expendi

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04400.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTThe January effect is primarily a low‐share price effect and less so a market value effect. In the recent 1977–1986 period, after‐transaction‐cost raw and excess January returns are lower on low‐price stocks than on high‐price stocks. Failure of informed traders to eliminate significantly large before‐transaction‐cost excess January returns on low‐price stocks is potentially explained by higher transaction costs and a bid‐ask bias. At the least, the January anomaly found in prior tests is not persistent, and thereby, not likely to be exploitable b

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04401.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTThis paper delineates the link between the existence of information, the timing of trades, and the stochastic process of prices. We show that time affects prices, with the time between trades affecting spreads. Because the absence of trades is correlated with volume, our model predicts a testable relation between spreads and normal and unexpected volume, and demonstrates how volume affects the speed of price adjustment. Our model also demonstrates how the transaction price series will be a biased representation of the true price process, with the variance being both overstated and heteroskedastic.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04402.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTThis paper analyzes price formation under two trading mechanisms: a continuousquote‐drivensystem where dealers post prices before order submission and anorder‐drivensystem where traders submit orders before prices are determined. The order‐driven system operates either as acontinuous auction, with immediate order execution, or as aperiodic auction, where orders are stored for simultaneous execution. With free entry into market making, the continuous systems are equivalent. While a periodic auction offers greater price efficiency and can function where continuous mechanisms fail, traders must sacrifice continuity and bear higher information

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04403.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTWith dual trading, brokers trade both for their customers and for their own account. We study dual trading and find that customers who are less likely to be informed have higher expected profits with dual trading while customers who are more likely to be informed have higher expected profits without dual trading. We also examine the effects of frontrunning. We test the major empirical implications of our model. Consistent with the model, dual traders earn higher profits than non‐dual traders, and customers of dual‐trading brokers do better than customers of non‐dual‐trading

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04404.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTRestrictions on trading by insider agents are analyzed using an optimal contracting framework. Prohibition of insider trading is shown to be Pareto preferred if, and only if, a revelation or moral hazard problem exists. If prohibition of insider trading is valuable, then trade registration with a delay is shown to be as valuable as complete prohibition. Short selling restrictions, however, are generally of less value than complete prohibition. Finally, regulation of insider agent trading by governmental institutions and/or professional associations is discussed.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04405.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTWhen IPO shares are sold sequentially, later potential investors can learn from the purchasing decisions of earlier investors. This can lead rapidly to “cascades” in which subsequent investors optimally ignore their private information and imitate earlier investors. Although rationing in this situation gives rise to a winner's curse, it is irrelevant. The model predicts that: (1) Offerings succeed or fail rapidly. (2) Demand can be so elastic that even risk‐neutral issuers underprice to completely avoid failure. (3) Issuers with good inside information can price their shares so high that they sometimes fail. (4) An underwriter may want to reduce the communication among investors by spreading the selling effort over a more segmented m

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04406.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY

摘要:

ABSTRACTThis paper examines daily excess bond returns associated with announcements of additions to Standard and Poor's Credit Watch List, and to rating changes by Moody's and Standard and Poor's. Reliably nonzero average excess bond returns are observed for additions to Standard and Poor's Credit Watch List when an expectations model is used to classify additions as either expected or unexpected. Bond price effects are also observed for actual downgrade and upgrade announcements by rating agencies. Excluding announcements with concurrent disclosures weakens the results for downgrades, but not upgrades. The stock price effects of rating agency announcements are also examined and contrasted with the bond price effects.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1992.tb04407.x

出版商:Blackwell Publishing Ltd    

年代:1992

数据来源: WILEY