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作者：Day, TE; Lewis, CM
作者单位：Vanderbilt University
摘要：This article examines the relationship between the volatility of the crude oil futures market and changes in initial margin requirements. To closely match changes in futures market volatility with the corresponding changes in margin requirements, we infer the volatility of the futures market from the prices of crude oil futures options contracts. Using a mean-reverting diffusion process for volatility, we show that changes in margin policy do not affect subsequent market volatility.
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作者：Bhattacharya, U
摘要：This article synthesizes some recent progress in the theories of corporate control and Political lobbying to model the Proxy campaign as a political campaign. The model yields a number of testable implications, only some of which have been examined in the literature. I;or example, if the loss from voting for a ''bad'' dissident exceeds the gain from voting for a ''good'' dissident the model predicts that as communication costs fall, the number of proxy fights increases, announcement day return...
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作者：Wahal, S
作者单位：University of North Carolina; University of North Carolina Chapel Hill; Purdue University System; Purdue University
摘要：The probability of entry and exit of dealers on the NASDAQ National Market (NNM) is significantly affected by trading intensity, volatility and the quoted bid-ask, spread Entry and exit of market makers is a pervasive phenomenon, Large-scale entry (exit) is associated with substantial declines (increases) in quoted end-of-day inside spreads, even after controlling for the effects of changes in volume and volatility. The spread changes are larger in magnitude for issues with few market makers; ...
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作者：Detemple, J; Murthy, S
作者单位：Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; McGill University
摘要：We examine intertemporal asset pricing when short sales are constrained in proportion to the value of an investor's portfolio. All assets' prices exceed every investor's marginal utility of consumption-based valuation of the associated dividends if every investor finds himself constrained in some asset in some state; we exhibit such an equilibrium. An asset's price decomposes into three (investor-specific) components: the consumption value of its dividends, a speculative value premium, and a c...
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作者：Fries, S; Miller, M; Perraudin, W
作者单位：University of Warwick; Centre for Economic Policy Research - UK
摘要：This article shows (1) bow entry and exit of firms in a competitive industry affect the valuation of securities and optimal capital structure, and (2) how, given a trade-off between tax advantages and agency costs, a firm will optimally adjust its leverage level after it is set up. We derive simple pricing expressions for corporate debt in which the price elasticity of demand for industry output plays a crucial role. When a firm optimally adjusts its leverage over time, we show that total firm...
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作者：Bansal, R
摘要：A standard empirical finding is that expected changes in exchange rates and Interest rate differentials across countries are negatively related implying that uncovered interest rate parity is violated in the data This article provides new empirical evidence that suggests that violations of uncovered interest rate parity, and its economic implications, depend on the sign of the interest rate differential. A framework related to term structure models is developed to account for the puzzling rela...
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作者：Madhavan, A; Richardson, M; Roomans, M
作者单位：New York University; National Bureau of Economic Research
摘要：This article develops and tests a structural model of intraday price formation that embodies public information shocks and microstructure effects. We use the model to analyze intraday patterns in bid-ask spreads, price volatility, transaction costs, and return and quote auto-correlations, and to construct metrics for price discovery and effective trading costs. Information asymmetry and uncertainty over fundamentals decrease over the day, although transaction costs increase The results help ex...
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作者：Kirby, C
作者单位：Rice University
摘要：Recent studies show that when a regression model is used to forecast stock: and bond returns, the sample R-2 increases dramatically with the length of the return horizon These studies argue, therefore, that long-horizon returns are highly predictable. This article presents evidence that suggests otherwise. Long-horizon regressions can easily yield large values of the sample R-2, even if the population R-2 is small or zero. Moreover, long-horizon regressions with a small or zero population R-2 ...
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作者：HuntMcCool, J; Koh, SC; Francis, BB
作者单位：University of North Carolina; University of North Carolina Charlotte
摘要：We reevaluate the IPO underpricing phenomenon using the stochastic frontier methodology. The advantage of the stochastic frontier is that it can be used to measure the level of deliberate underpricing in the premarket without using after-market information. This is accomplished through the estimation of a systematic one-sided error term that measures ''inefficiency'' or the difference between the maximum predicted offer price and the actual offer price. Data for the analysis are comprised of 1...
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作者：Werner, IM; Kleidon, AW
作者单位：National Bureau of Economic Research
摘要：This article analyzes intraday patterns for U.K. and U.S. trading of British cross-listed stocks. For each market, the intraday patterns for these stocks closely resemble those of otherwise similar, non-cross-listed stocks. There is a 2-hour period each day when cross-listed stocks are traded both in New York and in London. This overlap is characterized by concentrated trading as private information, originating in New York, gets incorporated into prices in both markets. Cross-border competiti...
