Journal of Finance

最新文章

• Does the specialist matter? Differential execution costs and Intersecurity subsidization on the New York Stock Exchange AI翻译
  作者：Cao, C; Choe, H; Hatheway, F
  作者单位：Seoul National University (SNU)
  摘要：This article tests for differences in execution costs among specialist firms for New York Stock Exchange listed securities. Execution cost differences provide a measure of the relative performance of specialist firms. We find a substantial difference in effective spreads and order processing costs across specialist firms, controlling for stock characteristics. While economically significant, the differences in execution costs between specialist firms are much smaller than the cross-market diff...
• Detecting Long-Run Abnormal Stock Returns: The Empirical Power and Specification of Test Statistics AI翻译
  作者：Barber, Brad M.; Lyon, John D.
  作者单位：University of California System; University of California Davis
• Intrafirm Capital Allocation and Managerial Compensation AI翻译
  作者：Milbourn, Todd T.; Thakor, Anjan V.
  作者单位：University of London; London Business School
• An examination of uncovered interest rate parity in segmented international commodity markets AI翻译
  作者：Hollifield, B; Uppal, R
  摘要：We examine the effect of segmented commodity markets on the relation between forward and future spot exchange rates in a dynamic economy. We calculate the slope coefficient in our theoretical economy from regressing exchange rate changes on forward premia. With reasonable parameter values, the slope coefficient is less than unity. However, even for extreme parameters the slope is not less than zero, as found in the data. A negative slope coefficient in a nominal version of the model requires t...
• Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns AI翻译
  作者：Andersen, Torben G.; Bollerslev, Tim
  作者单位：University of Virginia
• Dividends, Asymmetric Information, and Agency Conflicts: Evidence from a Comparison of the Dividend Policies of Japanese and US firms AI翻译
  作者：Dewenter, Kathryn L.; Warther, Vincent
  作者单位：University of Washington; University of Washington Seattle
• Trade Credit, Collateral, and Adverse Selection AI翻译
  作者：Frank, Murray; Maksimovic, Vojislav
  作者单位：University System of Maryland; University of Maryland College Park
• Capital Market Frictions and the Role of Internal Capital Markets in Banking AI翻译
  作者：Houston, Joel F.; James, Christopher M.
• A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk. AI翻译
  作者：Stanton, Richard H.
  作者单位：University of California System; University of California Berkeley
• The Performance of Hedge Funds: Risk, Return, and Incentives AI翻译
  作者：Ackermann, Carl; McEnally, Richard; Ravenscraft, David
  作者单位：University of North Carolina; University of North Carolina Chapel Hill