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作者：LO, AW; WANG, J
摘要：The predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not enter the option pricing formula. For discretely-sampled data, predictability is linked to the parameters that do enter the option pricing formula. We construct an adjustment for predictability to the Black-Scholes formula and show that this adjustment can be important even for small levels of predictability, especially for longe...
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作者：CHRISTIE, WG; HARRIS, JH; SCHULTZ, PH
作者单位：University System of Ohio; Ohio State University
摘要：On May 26 and 27, 1994 several national newspapers reported the findings of Christie and Schultz (1994) who cannot reject the hypothesis that market makers of active NASDAQ stocks implicitly colluded to maintain spreads of at least $0.25 by avoiding odd-eighth quotes. On May 27, dealers in Amgen, Cisco Systems, and Microsoft sharply increased their use of odd-eighth quotes, and mean inside and effective spreads fell nearly 50 percent. This pattern was repeated for Apple Computer the following ...
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作者：GROSSMAN, SJ; KEENAN, M
作者单位：New York University
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作者：CHRISTIE, WG; SCHULTZ, PH
作者单位：University System of Ohio; Ohio State University
摘要：The NASDAQ multiple dealer market is designed to produce narrow bid-ask spreads through the competition for order flow among individual dealers. However, we find that odd-eighth quotes are virtually nonexistent for 70 of 100 actively traded NASDAQ securities, including Apple Computer and Lotus Development. The lack of odd-eighth quotes cannot be explained by the negotiation hypothesis of Harris (1991), trading activity, or other variables thought to impact spreads. This result implies that the...
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作者：HIEMSTRA, C; JONES, JD
作者单位：U.S. Securities & Exchange Commission (SEC)
摘要：Linear and nonlinear Granger causality tests are used to examine the dynamic relation between daily Dow Jones stock returns and percentage changes in New York Stock Exchange trading volume. We find evidence of significant bidirectional nonlinear causality between returns and volume. We also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by C...
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作者：ADMATI, AR; PFLEIDERER, P
摘要：We derive a role for inside investors. such as venture capitalists, in resolving various agency problems that arise in a multistage financial contracting problem. Absent an inside investor, the choice of securities is unlikely to reveal all private information, and overinvestment may occur. An inside investor, however, always makes optimal investment decisions if and only if he holds a fixed-fraction contract, where he always receives a fixed fraction of the project's payoff and finances that ...
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作者：EVANS, MDD
摘要：A new empirical model for intertemporal capital asset pricing is presented that allows both time-varying risk premia and betas where the latter are identified from the dynamics of the conditional covariance of returns. The model is more successful in explaining the predictable variations in excess returns when the returns on the stock market and corporate bonds are included as risk factors than when,the stock market is the single factor. Although changes in the covariance of returns induce var...
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作者：KADAPAKKAM, PR; SETH, S
作者单位：University of Michigan System; University of Michigan; University of Houston System; University of Houston
摘要：We document abnormal trading profits in Dutch auction self-tenders. Tender period profits-buying after announcement and selling just before expiration-are 1.74 percent (Bhagat, Brickley, and Lowenstein (1987) report similar profits for interfirm tenders). Buying just before expiration and tendering yields abnormal profits of 1.36 percent (Lakonishok and Vermaelen (1990) report 9 percent for fixed-price self-tenders using a filter rule). Total profits from buying just after announcement and ten...
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作者：CONRAD, JS; HAMEED, A; NIDEN, C
作者单位：National University of Singapore; University of Notre Dame
摘要：This article tests for the relations between trading volume and subsequent returns patterns in individual securities' short-horizon returns that are suggested by such articles as Blume, Easley, and O'Hara (1994) and Campbell, Grossman, and Wang (1993). Using a variant of Lehmann's (1990) contrarian trading strategy, we find strong evidence of a relation between trading activity and subsequent autocovariances in weekly returns. Specifically, high-transaction securities experience price reversal...
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作者：COX, DR; PETERSON, DR
作者单位：University of North Carolina; Appalachian State University; State University System of Florida; Florida State University
摘要：We examine stock returns following large one-day price declines and find that the bid-ask bounce and the degree of market liquidity explain short-term price reversals. Further, we do not find evidence consistent with the overreaction hypothesis. We observe that securities with large one-day price declines perform poorly over an extended time horizon.
