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作者：Flannery, MJ; Kwan, SH; Nimalendran, M
作者单位：State University System of Florida; University of Florida; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We assess the market microstructure properties of U.S. banking firms' equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence indicates that large bank holding companies (BHC), traded on the NYSE, have very similar trading properties to their matched nonfinancial firms. In contrast, smaller BHCs, traded on NASDAQ, trade much less frequently despite having very similar spreads. Analysis of HIES earnings forecasts indi...
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作者：Chordia, T; Subrahmanyam, A
作者单位：University of California System; University of California Los Angeles; Emory University
摘要：This paper studies the relation between order imbalances and daily returns of individual stocks. Our tests are motivated by a model which considers how market makers dynamically accommodate autocorrelated imbalances emanating from large traders who optimally choose to split their orders. Price pressures caused by autocorrelated imbalances cause a positive relation between lagged imbalances and returns, which reverses sign after controlling for the current imbalance. We find empirical evidence ...
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作者：Grinblatt, M; Moskowitz, TJ
作者单位：University of Chicago; National Bureau of Economic Research; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：The consistency of positive past returns and tax-loss selling significantly affects the relation between past returns and the cross-section of expected returns. Analysis of these additional effects across stock characteristics, seasons, and tax regimes provides clues about the sources of temporal relations in stock returns, pointing to potential explanations for this relation. A parsimonious trading rule generates surprisingly large economic returns despite controls for confounding sources of ...
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作者：Aït-Sahalia, Y
作者单位：Princeton University
摘要：Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle Brownian noise from jumps. This is true even if, unlike the usual Poisson jumps, the jump process exhibits an infinite number of small jumps in any finite time interval, which ought to be harder to disti...
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作者：Carr, P; Wu, LR
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University; Bloomberg L.P.
摘要：The classic Black-Scholes option pricing model assumes that returns follow Brownian motion, but return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to non-normal return innovations. Second, return volatilities vary stochastically over time. Third, returns and their volatilities are correlated, often negatively for equities. Time-changed Levy, processes can simultaneously address these three issues. We show that our framework encompass...
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作者：Gan, J
作者单位：Hong Kong University of Science & Technology
摘要：This paper examines the relationship between banking market structure and financial stability. Using data on thrifts, a type of banking institution specializing in residential mortgage lending, I test two related hypotheses. First, competition reduces franchise value. Second, reduced franchise Value induces risk taking. Testing the second hypothesis exploits predictions that when hit by an exogenous shock, the slope of risk with respect to franchise value becomes more negative because thrifts ...
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作者：Lowry, M; Schwert, GW
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University of Rochester; National Bureau of Economic Research
摘要：This paper investigates underwriters' treatment of public information throughout the IPO pricing process. Two key findings emerge. First, public information is not fully incorporated into the initial price range. While the economic magnitude of the bias is small, it is puzzling because it is not clear who benefits from it. Further, it indicates that the filing range midpoint is not an unbiased predictor of the offer price, as prior literature has assumed. Second, while public information is si...
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作者：Fee, CE; Thomas, S
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Michigan State University; Michigan State University's Broad College of Business
摘要：We investigate the upstream and downstream product-market effects of a large sample of horizontal mergers and acquisitions from 1980 to 1997. We construct a data set that identifies the corporate customers, suppliers, and rivals of the firms initiating horizontal mergers and use this data set to examine announcement-related stock market revaluations and post-merger changes in operating performance. We find little evidence consistent with increased monopolistic collusion. However, we do find ev...
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作者：Huson, MR; Malatesta, PH; Parrino, R
作者单位：University of Alberta; University of Washington; University of Washington Seattle; University of Texas System; University of Texas Austin
摘要：We examine CEO turnover and firm financial performance. Accounting measures of performance relative to other firms deteriorate prior to CEO turnover and improve thereafter. The degree of improvement is positively related to the level of institutional shareholdings, the presence of an outsider-dominated board, and the appointment of an outsider (rather than an insider) CEO. Turnover announcements are associated with significantly positive average abnormal stock returns, which are in turn signif...
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作者：Jakob, K; Ma, TS
作者单位：Utah System of Higher Education; University of Utah; University of Montana System; University of Montana
摘要：Bali and Hite (1998) and Dubofsky (1992) propose models in which market microstructure effects play a role in the ex-dividend day price drop anomaly. Bali and Hite suggest that the anomaly is caused solely by price discreteness, while Dubofsky suggests that NYSE Rule 118 is also involved. We test these models by examining cum- to ex-day price drops during the one-eighth, one-sixteenth, and decimal tick size regimes. While the evidence is qualitatively consistent with Dubofsky's predictions, ne...
