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作者：CONRAD, JS; HAMEED, A; NIDEN, CM
作者单位：University of North Carolina; University of North Carolina Chapel Hill
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作者：FABOZZI, FJ; MA, CK; BRILEY, JE
作者单位：Massachusetts Institute of Technology (MIT); Texas Tech University System; Texas Tech University
摘要：In this paper, we find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange-closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange-open holidays. This is consistent with positive holiday sentiments. The holiday effect is un...
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作者：JAIN, BA; KINI, O
作者单位：Emory University
摘要：This article investigates the change in operating performance of firms as they make the transition from private to public ownership. A significant decline in operating performance subsequent to the initial public offering (IPO) is found. Additionally, there is a significant positive relation between post-IPO operating performance and equity retention by the original entrepreneurs, but no relation between post-IPO operating performance and the level of initial underpricing. Post-issue declines ...
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作者：LEE, CMC; READY, MJ; SEGUIN, PJ
作者单位：Cornell University; University of Wisconsin System; University of Wisconsin Madison
摘要：Trading halts increase, rather than reduce, both volume and volatility. Volume (volatility) in the first full trading day after a trading halt is 230 percent (50 to 115 percent) higher than following ''pseudohalts'': nonhalt control periods matched on time of day, duration, and absolute net-of-market returns. These results are robust over different halt types and news categories. Higher posthalt volume is observed into the third day while higher posthalt volatility decays within hours. The ext...
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作者：CHAN, KC
作者单位：Hong Kong University of Science & Technology
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作者：LENCE, SH; HAYES, DJ
摘要：This study shows how the standard portfolio model of futures trading should be modified when there is less than perfect information about the relevant parameters (estimation risk). The standard and the optimal decision rules for futures trading in the presence of estimation risk are compared and discussed. An operational model of futures trading for use under estimation risk is advanced. In the presence of relevant prior and sample information, the model can be used to optimally blend both typ...
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作者：ALEXANDER, GJ
摘要：The effect of short selling on the composition and location of the efficient set has been analyzed in a variety of ways. However, the situation typically facing investors where the initial margin requirement is less than 100 percent and the riskfree interest rate that is paid on the short proceeds is less than the rate paid on initial margin has not previously been considered. The Elton-Gruber-Padberg algorithm (1976, 1978), subject to certain modifications, is shown here to be capable of iden...
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作者：COGGIN, TD; FABOZZI, FJ; RAHMAN, S
作者单位：Portland State University
摘要：This paper presents an empirical examination of the selectivity and market timing performance of a sample of U.S. equity pension fund managers. Regardless of the choice of benchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However both selectivity and timing appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta-analysis revealed some real variation around ...
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作者：HANDA, P; KOTHARI, SP; WASLEY, C
作者单位：University of Rochester; Washington University (WUSTL)
摘要：The capital asset-pricing model's (CAPM) primary empirical implication is a positively sloped linear relation between a security's expected rate of return and its relative risk (beta). Recent research indicates that inferences about the risk-return relation are sensitive to the choice of the return measurement interval. We perform multivariate tests of the Sharpe-Lintner CAPM using monthly and annual returns on market-value-ranked portfolios. The CAPM is rejected using monthly returns, a resul...
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作者：JENSEN, MC
摘要：Since 1973 technological, political, regulatory, and economic forces have been changing the worldwide economy in a fashion comparable to the changes experienced during the nineteenth century Industrial Revolution. As in the nineteenth century, we are experiencing declining costs, increasing average (but decreasing marginal) productivity of labor, reduced growth rates of labor income, excess capacity, and the requirement for downsizing and exit. The last two decades indicate corporate internal ...
